We consider a firm with no assets in place but an option to invest in a project. The investment is irreversible but delayable in a regime-switching economy. The firm issues equity, straight bonds (SBs) and contingent convertibles (CoCos). We provide the closed-form prices for the firm's...

We consider an irreversible investment in a project, which generates cash flow following a double exponential jump-diffusion process and its expected return is governed by a continuous-time two-state Markov chain. If the expected return is observable, we present explicit expressions for the...

This paper utilizes a real options and game-theoretic approach to consider the strategic real investment in a duopoly market under uncertainty with time-inconsistent preferences resulting from quasi-hyperbolic discounting. We show that the time-consistent agent becomes the leader when s/he...

This paper addresses the classical real options problem taking debt renegotiation into account. A critical feature is that equityholders can freely initiate debt renegotiation at most once after debt issuance. We provide explicit solutions of the pricing and timing of the option to start a...

This paper extends real options theory to consider the situation where the mean appreciation rate of the value of an irreversible investment project is not observable and governed by an Ornstein-Uhlenbeck process. Our main purpose is to analyze the impact of the uncertainty of the mean...