Repeated real options: optimal investment behaviour and a good rule of thumb

DOI10.1016/J.JEDC.2004.08.002zbMATH Open1200.91300OpenAlexW2084458859MaRDI QIDQ953787FDOQ953787

Bo Jellesmark Thorsen, Nikolaj Malchow-Møller

Publication date: 6 November 2008

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

Full work available at URL: https://doi.org/10.1016/j.jedc.2004.08.002

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zbMATH Keywords

geometric Brownian motionrule of thumbrepeated real options

Mathematics Subject Classification ID

Portfolio theory (91G10) Corporate finance (dividends, real options, etc.) (91G50) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

• Optimal timing of technology adoption
• The net present value method versus the option value of waiting: A note on Farzin, Huisman and Kort (1998)
• Optimal replacement policy with stochastic maintenance and operation costs

Cited In (10)

• When is it better to wait for a new version? Optimal replacement of an emerging technology under uncertainty
• Optimal adaptation to uncertain climate change
• Analysis of the asset replacement level with an uncertain salvage value: a two-factor model
• Rescaling-contraction with a lower cost technology when revenue declines
• Title not available (Why is that?)
• Good timing: the economics of optimal stopping
• Strategic technology switching under risk aversion and uncertainty
• Asset retirement with infinitely repeated alternative replacements: harvest age and species choice in forestry
• Stepwise investment and capacity sizing under uncertainty
• A generalized complementarity approach to solving real option problems

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