Autor: |
Jerome Detemple, Yerkin Kitapbayev |
Jazyk: |
angličtina |
Rok vydání: |
2018 |
Předmět: |
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Zdroj: |
Risks, Vol 6, Iss 1, p 5 (2018) |
Druh dokumentu: |
article |
ISSN: |
2227-9091 |
DOI: |
10.3390/risks6010005 |
Popis: |
This paper studies the valuation of real options when the cost of investment jumps at a random time. Three valuation formulas are derived. The first expresses the value of the project in terms of a collection of knockout barrier claims. The second identifies the premium relative to a project with delayed investment right and prices its components. The last one identifies the premium/discount relative to a project with constant cost equal to the post-jump cost and prices its components. All formulas are in closed form. The behavior of optimal investment boundaries and valuation components are examined. |
Databáze: |
Directory of Open Access Journals |
Externí odkaz: |
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