Irreversible investment with Cox-Ingersoll-Ross type mean reversion

DOI10.1016/j.mathsocsci.2009.12.002zbMath1230.91185OpenAlexW3121541925MaRDI QIDQ975940

Wen-Kai Wang, Christian-Oliver Ewald

Publication date: 11 June 2010

Published in: Mathematical Social Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mathsocsci.2009.12.002

zbMATH Keywords

optimal controlreal optionsirreversible investmentCox-Ingersoll-Ross processforeign direct investmentmodels of mean reversion

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (4)

On the investment-uncertainty relationship in a real option model with stochastic volatility ⋮ Leveraged investments and agency conflicts when cash flows are mean reverting ⋮ Optimal risk-averse timing of an asset sale: trending versus mean-reverting price dynamics ⋮ Impact of Plant Utilization on Irreversible Investment Under Uncertainty with Application to Refinery Investment

Cites Work

• Investment under alternative return assumptions
• Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk
• Real options with constant relative risk aversion
• A Theory of the Term Structure of Interest Rates
• VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
• Malliavin differentiability of the Heston volatility and applications to option pricing
• Unnamed Item

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