Papers by ROG Team and Associates

As pioneers in Real Options thinking and its application to corporate strategy and finance, we have a significant body of research that reflects the diverse capabilities of our team and Associates at the Real Options Group. The following is a selection of this work.

Baldwin, C., and L. Trigeorgis. 1993.
Real Options, Capabilities, TQM, and Competitiveness
Working paper 93-025, Harvard Business School

Brennan, M. 1979.
The Pricing of Contingent Claims in Discrete Time Models
Journal of Finance 34, no. 1: 53-68

Brennan, M., and E. Schwartz. 1977a.
The Valuation of American Put Options
Journal of Finance 32, no. 2: 449-462

Brennan, M., and E. Schwartz. 1978.
Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis
Journal of Financial and Quantitative Analysis 13, no. 3: 461-474

Brennan, M., and E. Schwartz. 1985a.
Evaluating Natural Resource Investments
Journal of Business 58, no. 2: 135-157

Brennan, M., and E. Schwartz. 1985b.
A New Approach to Evaluating Natural Resource Investments
Midland Corporate Finance Journal 3, no. 1: 37-47

Grenadier, S. 1995.
Valuing Lease Contracts: A Real-Options Approach
Journal of Financial Economics 38, no. 3: 297-331

Grenadier, S. 1996.
The Strategic Exercise of Options: Development Cascades and Overbuilding in Real Estate Markets
Journal of Finance 51, no. 5: 1653-1679

Grenadier, S. 1997.
Information Revelation through Option Exercise
Review of Financial Studies 12, no. 1: 95-129

Grenadier, S. 1999.
Equilibrium with Time-to-Build: A Real Options Approach
In Project Flexibility, Agency, and Competition: New Developments in the Theory and Application of Real Options, ed. M. Brennan and L. Trigeorgis. Oxford U Press

Grenadier, S., and A.M. Weiss. 1997.
Investment in Technological Innovations: An Option Pricing Approach
Journal of Financial Economics 44: 397-416

Kulatilaka, N., and L. Trigeorgis. 1994.
The General Flexibility to Switch: Real Options Revisited
International Journal of Finance 6, no. 2

Lai, V. S., and L. Trigeorgis. 1995.
The Strategic Capital Budgeting Process: A Review of Theories and Practice
In Real Options in Capital Investment: Models, Strategies, and Applications, ed. L. Trigeorgis. Praeger.

Martzoukos, S., and L. Trigeorgis. 1998.
General Multi-stage Capital Investment Problems with Multiple Uncertainties
Working paper, University of Chicago

McDonald, R., and D. Siegel. 1984.
Option Pricing When the Underlying Asset Earns a Below-Equilibrium Rate of Return: A Note
Journal of Finance 39, no. 1: 261-265

McDonald, R., and D. Siegel. 1985.
Investment and the Valuation of Firms When There is an Option to Shut Down
International Economic Review 26, no. 2: 331-349

McDonald, R., and D. Siegel. 1986.
The Value of Waiting to Invest
Quarterly Journal of Economics 101, no. 4: 707-727

Micalizzi, A. and L. Trigeorgis. 1999.
Project Evaluation, Strategy, and Real Options
In Real Options and Business Strategy: Applications to Decision Making, ed. L. Trigeorgis, Risk Books.

Panayi, S., and L. Trigeorgis. 1998.
Multi-stage Real Options: The Cases of Information Technology Infrastructure and International Bank Expansion
Quarterly Review of Economics and Finance 38: 675-692

Smit, H.T.J. 1997.
Investment Analysis of Offshore Concessions in the Netherlands
Financial Management 26, no. 2: 5-17

Smit, H.T.J., and L.A. Ankum. 1993.
A Real Options and Game-Theoretic Approach to Corporate Investment Strategy under Competition
Financial Management 22, no. 3: 241-250

Smit, H.T.J., and L. Trigeorgis. 1993.
Flexibility and Commitment in Strategic Investment
Working paper, Tinbergen Institute, Erasmus University, Rotterdam

Smit, H.T.J., and L. Trigeorgis. 1997.
R&D Option Strategies
Working paper, University of Chicago

Smit, H.T.J., and L. Trigeorgis. 1999.
Flexibility, Strategic Options and Dynamic Competition in Technology Investments
Under revision, Strategic Management Journal

Smit, H.T.J., and L. Trigeorgis. 1999.
Growth Options, Competition and Strategy: An Answer to the Market Valuation Puzzle
In Real Options and Business Strategy: Applications to Decision Making, ed. L. Trigeorgis, Risk Books.

Smit, H.T.J., and L. Trigeorgis. 2000.
Real Options: Examples and Principles of Valuation and Strategy
Forthcoming, Journal of Applied Corporate Finance

Trigeorgis, L. 1988.
A Conceptual Options Framework for Capital Budgeting
Advances in Futures and Options Research 3: 145-167

Trigeorgis, L. 1990a.
A Real Options Application in Natural Resource Investments
Advances in Futures and Options Research 4: 153-164

Trigeorgis, L. 1990b.
Valuing the Impact of Uncertain Competitive Arrivals on Deferrable Real Investment Opportunities
Working paper, Boston University

Trigeorgis, L. 1991a.
Anticipated Competitive Entry and Early Preemptive Investment in Deferrable Projects
Journal of Economics and Business 43, no. 2: 143-156

Trigeorgis, L. 1991b.
A Log-Transformed Binomial Numerical Analysis Method for Valuing Complex Multi-Option Investments
Journal of Financial and Quantitative Analysis 26, no. 3: 309-326

Trigeorgis, L. 1993a.
The Nature of Option Interactions and the Valuation of Investments with Multiple Real Options
Journal of Financial and Quantitative Analysis 28, no. 1: 1-20

Trigeorgis, L. 1993b.
Real Options and Interactions with Financial Flexibility
Financial Management 22, no. 3: 202-224

Trigeorgis, L. 1995b.
Evaluating Leases with Complex Operating Options
European Journal of Operational Research (Special Issue on Financial Modelling) 75

Trigeorgis, L. 1999.
Real Options: A Primer
In Real Options: The New Investment Theory and its Implications for Telecommunications Economics, eds. J. Alleman and E. Noam, Regulatory Economics Series, Kluwer Academic Publishers, Boston

Trigeorgis, L., and E. Kasanen. 1991.
An Integrated Options-based Strategic Planning and Control Model
Managerial Finance 17, no. 2/3: 16-28

Trigeorgis, L., and S. P. Mason. 1987.
Valuing Managerial Flexibility
Midland Corporate Finance Journal 5, no. 1: 14-21