Analytical solution for an investment problem under uncertainties with shocks

DOI10.1016/J.EJOR.2017.01.008zbMath1402.91896arXiv1509.04135OpenAlexW2962935452MaRDI QIDQ1751925

Rita Pimentel, Clàudia Nunes

Publication date: 25 May 2018

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1509.04135

zbMATH Keywords

Markov processesjump-diffusion processinvestment decisionoptimal stopping time problem

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (13)

Investment timing and capacity choice in duopolistic competition under a jump-diffusion model ⋮ Technology adoption in a declining market ⋮ Feed-in tariff contract schemes and regulatory uncertainty ⋮ Investment in two alternative projects with multiple switches and the exit option ⋮ Investment strategies of duopoly firms with asymmetric time-to-build under a jump-diffusion model ⋮ Explicit investment setting in a Kaldor macroeconomic model with macro shock ⋮ Model risk in real option valuation ⋮ Quasi-analytical solution of an investment problem with decreasing investment cost due to technological innovations ⋮ Unnamed Item ⋮ Switching from oil to gas production in a depleting field ⋮ Optimal investment and abandonment decisions for projects with construction uncertainty ⋮ Investments with declining cost following a Lévy process ⋮ Impact of Plant Utilization on Irreversible Investment Under Uncertainty with Application to Refinery Investment

Cites Work

• Optimal technology adoption when the arrival rate of new technologies changes
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• Impact of cost uncertainty on pricing decisions under risk aversion
• Evaluating pharmaceutical R\&D under technical and economic uncertainty
• Operational asset replacement strategy: a real options approach
• Timing of investment under technological and revenue-related uncertainties
• Some remarks on first passage of Lévy processes, the American put and pasting principles
• Option pricing when underlying stock returns are discontinuous
• Applied stochastic control of jump diffusions
• Real (investment) options with multiple sources of rare events
• Time-to-build and capacity choice
• Optimal stopping, free boundary, and American option in a jump-diffusion model

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