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Corporate Optimal Investment Under Incomplete Information: A Real Option Method

Mondher Bellalah, Shujuan Ding and Zhen Wu

The Review of Finance and Banking, 2012, vol. 04, issue 1, 007-014

Abstract: This paper develops an option pricing model to value a project with taxes and incomplete information. We derive the value of the option to invest in the project and provide the threshold value of the project. Some numerical examples are given to show the characteristics of the optimal investment rule.

Date: 2012
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The Review of Finance and Banking is currently edited by Victor Dragota; Bogdan Negrea

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