Browsing NTNU Open by Author "Thijssen, Jacco J.J."
Now showing items 1-4 of 4
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Green investment under policy uncertainty and Bayesian learning
Dalby, Peder A.O.; Gillerhaugen, Gisle R.; Hagspiel, Verena; Leth-Olsen, Tord; Thijssen, Jacco J.J. (Journal article; Peer reviewed, 2018)Many countries have introduced support schemes to accelerate investments in renewable energy (RE). Experience shows that, over time, retraction or revision of support schemes become more likely. Investors in RE are greatly ... -
Investment Decisions with Two-Factor Uncertainty
Compernolle, Tine; Huisman, Kuno J.M.; Kort, Peter M.; Lavrutich, Maria; Nunes, Cláudia; Thijssen, Jacco J.J. (Peer reviewed; Journal article, 2021)This paper considers investment problems in real options with non-homogeneous two-factor uncertainty. We derive some analytical properties of the resulting optimal stopping problem and present a finite difference algorithm ... -
Kalman filter approach to real options with active learning
Sund, Sebastian; Sendstad, Lars Hegnes; Thijssen, Jacco J.J. (Peer reviewed; Journal article, 2022)Technological innovations often create new markets and this gives incentives to learn about their associated profitabilities. However, this decision depends not only on the underlying uncertain profitability, but also on ... -
Optimal double stopping problems for maxima and minima of geometric Brownian motions
Gapeev, Pavel; Kort, P.M.; Lavrutich, Maria; Thijssen, Jacco J.J. (Journal article; Peer reviewed, 2022)