کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
972978 932728 2010 5 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Irreversible investment with Cox–Ingersoll–Ross type mean reversion
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
Irreversible investment with Cox–Ingersoll–Ross type mean reversion
چکیده انگلیسی

We solve a Dixit and Pindyck type irreversible investment problem in continuous time under the assumption that the project value follows a Cox–Ingersoll–Ross process. This setup works well for modeling foreign direct investment in the framework of real options, when the exchange rate is uncertain and the project value fixed in a foreign currency. We indicate how the solution qualitatively differs from the two classical cases: geometric Brownian motion and geometric mean reversion. Furthermore, we discuss analytical properties of the Cox–Ingersoll–Ross process and demonstrate potential advantages of this process as a model for the project value with regard to the classical ones.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Mathematical Social Sciences - Volume 59, Issue 3, May 2010, Pages 314–318
نویسندگان
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