Finite project life and uncertainty effects on investment

DOI10.1016/J.JEDC.2007.10.003MaRDI QIDQ844709zbMATHOpenAlexFDO

Authors Sebastian Gryglewicz, Kuno J. M. Huisman, Peter M. Kort

Publication date 19 January 2010

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://research.tilburguniversity.edu/en/publications/55153914-7cb5-4afc-8364-182179d99559

zbMATH Keywords

uncertaintyinvestmentfinite project length

Mathematics Subject Classification ID

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

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Cites work

• A generalized complementarity approach to solving real option problems
• A valuation model for firms with stochastic earnings
• American-style derivatives. Valuation and computation.
• An Intertemporal Capital Asset Pricing Model
• Cost uncertainty and the rate of investment
• Investment timing and learning externalities
• Investment under alternative return assumptions
• Investment under uncertainty and policy change
• Investment under uncertainty: calculating the value function when the Bellman equation cannot be solved analytically
• Irreversible investment with regime shifts
• On the investment-uncertainty relationship in a real options model
• Option pricing when underlying stock returns are discontinuous
• The effect of mean reversion on investment under uncertainty
• The effect of uncertainty on investment timing in a real options model
• The effects of information on strategic investment and welfare
• Uncertainty, Investment, and Industry Evolution

Cited in

(15)

• Excessive risk taking and the maturity structure of debt
• Optimal R\&D investment for a risk-averse entrepreneur
• Investment timing, asymmetric information, and audit structure: a real options framework
• Dynamic investment and capital structure under manager-shareholder conflict
• Incomplete markets, ambiguity, and irreversible investment
• The effect of uncertainty on investment timing in a real options model
• On the firm's option values of short-time work policies
• High uncertainty financing
• Re-evaluating natural resource investments under uncertainty: an alternative to limited traditional approaches
• The worst case for real options
• Real option pricing under the regime-switching model with jumps on a finite time horizon
• Devaluating projects and the investment-uncertainty relationship
• Real option signaling games of debt financing using equity guarantee swaps under asymmetric information
• The interaction of debt financing, cash grants and the optimal investment policy under uncertainty
• On the investment-uncertainty relationship in a real options model

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