Real Options and Threshold Strategies

Abstract : The paper deals an investment timing problem appearing in real options theory. The present values from an investment project are modeled by general diffusion process. We find necessary and sufficient conditions under which the optimal investment time is induced by a threshold strategy. We study also conditions for optimality of the threshold strategy (over all threshold strategies) and discuss the connection between the solutions to the investment timing problem and the free-boundary problem.
Document type :
Conference papers
Complete list of metadatas

Cited literature [11 references]  Display  Hide  Download

https://hal.inria.fr/hal-01626926
Contributor : Hal Ifip <>
Submitted on : Tuesday, October 31, 2017 - 2:41:52 PM
Last modification on : Tuesday, October 31, 2017 - 2:44:50 PM
Long-term archiving on : Thursday, February 1, 2018 - 1:51:00 PM

File

447583_1_En_6_Chapter.pdf
Files produced by the author(s)

Licence


Distributed under a Creative Commons Attribution 4.0 International License

Identifiers

Citation

Vadim Arkin, Alexander Slastnikov. Real Options and Threshold Strategies. 27th IFIP Conference on System Modeling and Optimization (CSMO), Jun 2015, Sophia Antipolis, France. pp.78-88, ⟨10.1007/978-3-319-55795-3_6⟩. ⟨hal-01626926⟩

Share

Metrics

Record views

55

Files downloads

71