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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.
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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⟩



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