Optimal Investment under Cost Uncertainty

被引：3
|
作者：
Detemple, Jerome [1 ]
Kitapbayev, Yerkin [1 ]
机构：
[1] Boston Univ, Questrom Sch Business, Boston, MA 02215 USA
来源：
RISKS | 2018年 / 6卷 / 01期
关键词：
American option; real options; optimal stopping; random strike; early exercise premium; free-boundary problem;
D O I：
10.3390/risks6010005
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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.
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页数：19
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