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We examine how real option values depend on the dynamics of project value and investment costs, the frequency of exercise opportunities, the size of the project relative to initial wealth, the investor\u2019s risk tolerance (and how it changes with wealth) and several other choices about model structure. For instance, contrary to stylised facts from previous literature, real option values can actually decrease with the volatility of the underlying project value and increase with investment costs. And large projects can be more or less attractive than small projects (ceteris paribus) depending on the risk tolerance of the investor, how this changes with wealth, and the structure of costs to invest in the project.<\/jats:p>","DOI":"10.1007\/s10479-019-03273-4","type":"journal-article","created":{"date-parts":[[2019,5,17]],"date-time":"2019-05-17T22:22:32Z","timestamp":1558131752000},"page":"1025-1056","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":16,"title":["Model risk in real option valuation"],"prefix":"10.1007","volume":"299","author":[{"given":"Carol","family":"Alexander","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Xi","family":"Chen","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"297","published-online":{"date-parts":[[2019,5,17]]},"reference":[{"key":"3273_CR1","doi-asserted-by":"crossref","first-page":"785","DOI":"10.1017\/S0022109010000815","volume":"46","author":"R Adkins","year":"2011","unstructured":"Adkins, R., & Paxson, D. 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