Investment Decisions with Two-Factor Uncertainty
This paper considers investment problems in real options with non-homogeneous two-factor uncertainty. We derive some analytical properties of the resulting optimal stopping problem and present a finite difference algorithm to approximate the firm’s value function and optimal exercise boundary. An im...
Saved in:
| Main Authors: | , , , , , |
|---|---|
| Format: | article |
| Language: | EN |
| Published: |
MDPI AG
2021
|
| Subjects: | |
| Online Access: | https://doaj.org/article/25ed37a81ea34a8fb0a531267a1a566a |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|