dc.contributor.author | Compernolle, Tine | |
dc.contributor.author | Huisman, Kuno J.M. | |
dc.contributor.author | Kort, Peter M. | |
dc.contributor.author | Lavrutich, Maria | |
dc.contributor.author | Nunes, Cláudia | |
dc.contributor.author | Thijssen, Jacco J.J. | |
dc.date.accessioned | 2022-02-02T09:11:11Z | |
dc.date.available | 2022-02-02T09:11:11Z | |
dc.date.created | 2021-11-04T16:06:02Z | |
dc.date.issued | 2021 | |
dc.identifier.citation | Journal of Risk and Financial Management. 2021, 14 (11), . | en_US |
dc.identifier.issn | 1911-8066 | |
dc.identifier.uri | https://hdl.handle.net/11250/2976579 | |
dc.description.abstract | 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 to approximate the firm’s value function and optimal exercise boundary. An important message in our paper is that the frequently applied quasi-analytical approach underestimates the impact of uncertainty. This is caused by the fact that the quasi-analytical solution does not satisfy the partial differential equation that governs the value function. As a result, the quasi-analytical approach may wrongly advise to invest in a substantial part of the state space. | en_US |
dc.language.iso | eng | en_US |
dc.publisher | MDPI | en_US |
dc.rights | Navngivelse 4.0 Internasjonal | * |
dc.rights.uri | http://creativecommons.org/licenses/by/4.0/deed.no | * |
dc.title | Investment Decisions with Two-Factor Uncertainty | en_US |
dc.type | Peer reviewed | en_US |
dc.type | Journal article | en_US |
dc.description.version | publishedVersion | en_US |
dc.source.pagenumber | 17 | en_US |
dc.source.volume | 14 | en_US |
dc.source.journal | Journal of Risk and Financial Management | en_US |
dc.source.issue | 11 | en_US |
dc.identifier.doi | 10.3390/jrfm14110534 | |
dc.identifier.cristin | 1951525 | |
cristin.ispublished | true | |
cristin.fulltext | original | |
cristin.qualitycode | 1 | |