Information acquisition as an American option

Many information acquisition activities can be postponed within a predefined time-frame. In uncertain situations, the option to postpone the information acquisition to a later, more favorable time may create value. We discuss the value that comes from holding an option to acquire information in a time period and suggest a simulation-based numerical approach to calculate the associated value. We discuss that the value of information in a time period may be very different from the value of information in a single point in time. This value is closely linked to the uncertainty of the decision outcomes over the time period.

Research Highlights► The Concept of Value of Information (VOI) is studied in a time period. ► VOI in a time period may be different from the VOI in a single point in time. ► Uncertainty in the decision outcomes has a direct effect on VOI in a time period. ► Two examples of VOI in a time period are offered. ► A Simulation-based approximate valuation methods is suggested for more complex problems.