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 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...