Repeated real options: optimal investment behaviour and a good rule of thumb

DOI10.1016/J.JEDC.2004.08.002zbMath1200.91300OpenAlexW2084458859MaRDI QIDQ953787

Bo Jellesmark Thorsen, Nikolaj Malchow-Møller

Publication date: 6 November 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2004.08.002

zbMATH Keywords

geometric Brownian motionrule of thumbrepeated real options

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Corporate finance (dividends, real options, etc.) (91G50) Portfolio theory (91G10)

Related Items (9)

Stepwise investment and capacity sizing under uncertainty ⋮ Analysis of the asset replacement level with an uncertain salvage value: a two-factor model ⋮ A generalized complementarity approach to solving real option problems ⋮ Asset retirement with infinitely repeated alternative replacements: harvest age and species choice in forestry ⋮ Optimal adaptation to uncertain climate change ⋮ Good timing: the economics of optimal stopping ⋮ Rescaling-contraction with a lower cost technology when revenue declines ⋮ Strategic technology switching under risk aversion and uncertainty ⋮ When is it better to wait for a new version? Optimal replacement of an emerging technology under uncertainty

Cites Work

• Optimal replacement policy with stochastic maintenance and operation costs
• Optimal timing of technology adoption
• The net present value method versus the option value of waiting: A note on Farzin, Huisman and Kort (1998)

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