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

Rainer Andergassen and L. Sereno

Working Papers from Dipartimento Scienze Economiche, Universita' di Bologna

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

JEL-codes: C60 G12 G13 G30 (search for similar items in EconPapers)
Date: 2010-03
New Economics Papers: this item is included in nep-ino and nep-ppm
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Persistent link: https://EconPapers.repec.org/RePEc:bol:bodewp:697

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