Real options, risk aversion and markets: A corporate finance perspective
研究了金融市场如何影响风险厌恶者的实物期权最优执行，发现异质风险加速执行，系统风险可能加速执行并降低看涨期权价值，挑战了传统观点。
We analyze how the presence of financial markets affects the optimal exercise of real options for a risk averse agent. Extending the results of Shackleton and Sodal (2005), we characterize the optimal exercise rule in terms of a benchmark portfolio, even for the case of an incomplete market, facilitating the minimal martingale measure. We unambiguously characterize the effect of idiosyncratic risk on the speed of exercise of the option. We further show that systematic risk can accelerate execution and reduce the value of a call-type option, in contrast with the standard view that both value and execution threshold are increasing in volatility.