Heterogeneous information arrival and R\& D option pricing. (Q1871522)

Existing tools for valuing investment decisions in R\&D, such as discounted cash flow techniques cannot, as the authors argue, capture the ``option value'' of such projects. They extend an earlier similar approach by \textit{E. Pennings} and \textit{O. Lint} [Eur. J. Oper. Res. 103, No. 1, 83--94 (1997; Zbl 0922.90098)], solving a couple of open problems raised by them. The authors take into account a jump model of information arrival which affects the present value of future cash flows. They show how a doubly stochastic Poisson process can reduce an overestimation of the volatility of an underlying asset. An investment in R\&D projects is viewed by them as an European call option on an American perpetual call. The idea of exploring derivative instruments in the context of investment decisions sounds as a challenging one.