کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
9555864 | 1377038 | 2005 | 17 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Repeated real options: optimal investment behaviour and a good rule of thumb
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 29, Issue 6, June 2005, Pages 1025-1041
Journal: Journal of Economic Dynamics and Control - Volume 29, Issue 6, June 2005, Pages 1025-1041
نویسندگان
Nikolaj Malchow-Møller, Bo Jellesmark Thorsen,