Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/159538
Authors: 
Andergassen, Rainer
Sereno, Luigi
Year of Publication: 
2010
Series/Report no.: 
Quaderni - Working Paper DSE 697
Abstract: 
In this paper we consider N-phased investment opportunities where the time evolution of the project value follows a jump-diffusion process. An explicit valuation formula is derived under two different scenarios: in the first case we consider fixed and certain investment costs and in the second case we consider cost uncertainty and assume that investment costs follow a jump-diffusion process.
JEL: 
G12
G13
G30
C60
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by-nc/3.0/
Document Type: 
Working Paper

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