The Expected Return and Exercise Time of Merton‐style Real Options
分析了默顿式期权（1973）在实物期权中的预期回报率和预期行权时间，发现其预期回报为期权价值的固定百分比且独立于行权边界，并给出了行权时间的公式。
We analyse the rate of return and expected exercise time of Merton‐style options (1973) employed in many real option situations where the possibility of exercise is both perpetual and American in nature. Using risk‐neutral and risk‐adjusted pricing techniques, Merton‐style options are shown to have an expected return that is a constant percentage of the option value and independent of the proximity to the critical exercise boundary. Merton options thus remain at the same point on the Security Market Line, unlike European options whose position and rate of return change dynamically. We also present formulae for the expected time and discounted times to exercise and analyse the dependency of these variables on volatility.