Optimal investment under cost uncertainty

Artikel

This paper studies the valuation of real options when the cost of investment jumps at a random time. Three valuation formulas are derived. The first expresses the value of the project in terms of a collection of knockout barrier claims. The second identifies the premium relative to a project with delayed investment right and prices its components. The last one identifies the premium/discount relative to a project with constant cost equal to the post-jump cost and prices its components. All formulas are in closed form. The behavior of optimal investment boundaries and valuation components are examined.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: Risks ; ISSN: 2227-9091 ; Volume: 6 ; Year: 2018 ; Issue: 1 ; Pages: 1-19 ; Basel: MDPI

Klassifikation und Themen

• Klassifikation: Wirtschaft
• Thema: American option ; real options ; optimal stopping ; random strike ; early exercise premium ; free-boundary problem

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Detemple, Jerome ; Kitapbayev, Yerkin
• Ereignis: Veröffentlichung
• (wer): MDPI
• (wo): Basel
• (wann): 2018

Weitere Informationen

• DOI: doi:10.3390/risks6010005
• Handle: http://hdl.handle.net/10419/195800
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ