John Weyant, Tao Yao, Steven R. Grenadier, David G. Luenberger, Jeffrey Sadowsky, ...
This paper develops a stochastic differential game framework for analyzing strategic exercise of options. We focus on research and development (R&D) competition in information technology (IT)...
Option Exercise Games: An Application to the Equilibrium Investment Strategies of Firms (2002)
Under the standard real options approach to investment under uncertainty, agents formulate optimal exercise strategies in isolation and ignore competitive interactions. However, in many...
Investment Under Uncertainty and Time-Inconsistent Preferences
Steven R. Grenadier, Neng Wang
The real options framework has been used extensively to analyze the timing of investment under uncertainty. While standard real options models assume that agents possess a constant rate of time...
Investment Timing, Agency, and Information
Steven R. Grenadier, Neng Wang
This paper provides a model of investment timing by managers in a decentralized firm in the presence of agency conflicts and information asymmetries. When investment decisions are delegated to...
The Journal of Real Estate Finance and Economics
Steven R. Grenadier, James B. Kau, C.F. Sirmans
Papers published in The Journal of Real Estate Finance and Economics
The Persistence of Real Estate Cycles.
This paper presents a model that attempts to explain the underlying causes of the prolonged cycles observed in real estate markets. In addition, the paper characterizes the features that make some...
The Strategic Exercise of Options: Development Cascades and Overbuilding in Real Estate Markets.
This article develops an equilibrium framework for strategic option exercise games. The author focuses on a particular example: the timing of real estate development. An analysis of the equilibrium...
Option Exercise Games: An Application to the Equilibrium Investment Strategies of Firms
Under the standard real options approach to investment under uncertainty, agents formulate optimal exercise strategies in isolation and ignore competitive interactions. However, in many real-world...
Information Revelation through Option Exercise.
In many real-world situations, agents must formulate option exercise strategies with imperfect information. In such a setting, agents may infer the private signals of other agents through their...
Investment under Uncertainty and Time-Inconsistent Preferences
Grenadier, Steven R., Wang, Neng
The real options framework has been used extensively to analyze the timing of investment under uncertainty. While standard real options models assume that agents possess a constant rate of time...
Risk-Based Capital Standards and the Riskiness of Bank Portfolios: Credit and Factor Risks
Steven R. Grenadier, Brian J. Hall
Bank risk-based capital (RBC) standards require banks to hold differing amounts of capital for different classes of assets, based almost entirely on a credit risk criterion. The paper provides both a...
Stock and Bond Pricing in an Affine Economy
Geert Bekaert, Steven R. Grenadier
This article provides a stochastic valuation framework for bond and stock returns that builds on three different pricing traditions: affine models of the term structure, present-value pricing of...
An Equilibrium Analysis of Real Estate
This paper provides a unified equilibrium approach to valuing a wide variety of commercial real estate lease contracts. Using a game-theoretic variant of real options analysis, the underlying real...
Stock and Bond Returns with Moody Investors
Geert Bekaert, Eric Engstrom, Steven R. Grenadier
We present a tractable, linear model for the simultaneous pricing of stock and bond returns that incorporates stochastic risk aversion. In this model, analytic solutions for endogenous stock and bond...
An Equilibrium Analysis of Real Estate Leases
This article provides a unified equilibrium approach to valuing commercial real estate leases. Using a game-theoretic variant of real options analysis, the underlying real estate asset market is...
OPTION EXERCISE GAMES: THE INTERSECTION OF REAL OPTIONS AND GAME THEORY
While the real options approach has proven useful in providing an analytical framework for analyzing the timing of investment decisions, a notable failure of the approach has been an almost complete...