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

Andergassen, Rainer ; Sereno, Luigi (2010) The valuation of N-phased investment projects under jump-diffusion processes. Bologna: Dipartimento di Scienze economiche DSE, p. 24. DOI 10.6092/unibo/amsacta/4544. In: Quaderni - Working Paper DSE (697). ISSN 2282-6483.
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Abstract

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.

Abstract
Document type
Monograph (Working Paper)
Creators
CreatorsAffiliationORCID
Andergassen, Rainer
Sereno, Luigi
Keywords
N-fold compound options; sequential investments; jump-diffusion process.
Subjects
ISSN
2282-6483
DOI
Deposit date
04 Feb 2016 11:46
Last modified
04 Feb 2016 11:46
URI

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