Sequential Capacity Expansion Options

DOI10.1287/OPRE.2018.1752zbMath1455.91268OpenAlexW2897451419WikidataQ129116310 ScholiaQ129116310MaRDI QIDQ4971576

Benoît Chevalier-Roignant, Alain Bensoussan

Publication date: 12 October 2020

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/opre.2018.1752

zbMATH Keywords

hysteresisreal optionscapacity investmentinvestment under uncertainty

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50)

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Valuing real options with endogenous payoff ⋮ Optimal Sequential Investment Decision-Making with Jump Risk ⋮ Nonzero-Sum Stochastic Games and Mean-Field Games with Impulse Controls ⋮ Management of online server congestion using optimal demand throttling ⋮ Demand uncertainty, product differentiation, and entry timing under spatial competition ⋮ Time-to-build and capacity expansion ⋮ Valuing switching options with the moving-boundary method ⋮ Does performance-sensitive debt mitigate debt overhang? ⋮ Capacity investment choices under cost heterogeneity and output flexibility in oligopoly ⋮ Irreversible investment with fixed adjustment costs: a stochastic impulse control approach ⋮ Regression Monte Carlo for impulse control ⋮ Real Options Problem with Nonsmooth Obstacle ⋮ Leaving well-worn paths: reversal of the investment-uncertainty relationship and flexible biogas plant operation

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