Article ID Journal Published Year Pages File Type
5069941 Finance Research Letters 2007 12 Pages PDF
Abstract
We analyze extensively the characteristics of the solution to an irreversible investment decision when the only source of uncertainty comes from interest rates. They are assumed to be driven by the popular Cox-Ingersoll-Ross (CIR) stochastic process. Particular attention is paid to the impact that both CIR parameters and risk aversion have on the threshold rate.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Authors
, ,