Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/238124 
Erscheinungsjahr: 
2021
Schriftenreihe/Nr.: 
Center for Mathematical Economics Working Papers No. 646
Verlag: 
Bielefeld University, Center for Mathematical Economics (IMW), Bielefeld
Zusammenfassung: 
We consider a real options model for the optimal irreversible investment problem of a profit maximizing company. The company has the opportunity to invest into a production plant capable of producing two products, of which the prices follow two independent geometric Brownian motions. After paying a constant sunk investment cost, the company sells the products on the market and thus receives a continuous stochastic revenue-flow. This investment problem is set as a twodimensional optimal stopping problem. We find that the optimal investment decision is triggered by a convex curve, which we characterize as the unique continuous solution to a nonlinear integral equation. Furthermore, we provide analytical and numerical comparative statics results of the dependency of the project's value and investment decision with respect to the model's parameters.
Schlagwörter: 
Real Options
Irreversible Investment
Optimal Stopping
Nonlinear Integral Equation
Comparative Statics
JEL: 
G11
C61
D25
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
cc-by Logo
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe





Publikationen in EconStor sind urheberrechtlich geschützt.