The valuation of N-phased investment projects under jump-diffusion processes

In this paper we consider N-phased investment opportunities where the time evolution of the project value follows a jump-diffusion process. An explicit valuation formula is derived under two different scenarios: in the first case we consider fixed and certain investment costs and in the second case we consider cost uncertainty and assume that investment costs follow a jump-diffusion process

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Year of publication:	2010-03
Authors:	Andergassen, R. ; Sereno, L.
Institutions:	Dipartimento di Scienze Economiche, Alma Mater Studiorum - Università di Bologna

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Classification:	G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; G30 - Corporate Finance and Governance. General ; C60 - Mathematical Methods and Programming. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008477295