The Investment-Uncertainty Relationship in a Real Option Model
This paper examines the effect of uncertainty on investment in a real option model. By introducing the contingent claims analysis the opportunity to invest is modeled as an American call option with expiring time. By the use of penalty function, the American option model can rationally analyze the uncertainty-investment relationship. We show that the optimal exercise boundary exhibits a U-shaped pattern against the volatility of the project. Furthermore, such a pattern is inherited by the expected time to exercise the investment option.
real option uncertainty optimal ezercise bound-ary ezpected time
Shanshan Ding Liugen Wang Shenghong Li
Department of Mathematics, Zhejiang University Hangzhou, 310027, China
国际会议
北京
英文
346-349
2009-07-24（万方平台首次上网日期，不代表论文的发表时间）