We consider a real options model for the optimal irreversible investment problem of a profit maximizing company. The … two independent geometric Brownian motions. After paying a constant sunk investment cost, the company sells the products … on the market and thus receives a continuous stochastic revenue-flow. This investment problem is set as a twodimensional …

investment game formulated in continuous time in which reduced-form profits are subject to industry shocks. We show that the … rivals' investment are properly accounted for …