Repeated real options: optimal investment behaviour and a good rule of thumb

This paper extends the standard investment-under-uncertainty set-up with a single investment option to the case of infinitely repeated options. Analytical solutions are derived, and it is shown that repeated options not only imply a smaller value of waiting than in the case of a single option, but also that the optimal stopping rule is affected differently by changes in underlying parameters. This is shown to allow for the use of a simple hurdle-rate rule as a good and robust approximation to optimal behaviour when investment options are repeated - something which is unlikely in the single-option case.