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Titel
On an irreversible investment problem with two-factor uncertainty / F. Dammann and G. Ferrari
VerfasserDammann, Felix ; Ferrari, Giorgio
ErschienenBielefeld, Germany : Center for Mathematical Economics (IMW), March 2021
Ausgabe
Elektronische Ressource
Umfang1 Online-Ressource (22 Seiten) : Diagramme
SerieCenter for Mathematical Economics Working papers ; 646
SchlagwörterUnternehmen / Gewinnmaximierung / Investition / Produkt / Brownsche Dynamik
URNurn:nbn:de:hbz:6:2-1492733 
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On an irreversible investment problem with two-factor uncertainty [0.6 mb]
Zusammenfassung

We consider a real options model for the optimal irreversible investment problem of a pro t maximizing company. The company has the opportunity to invest into a production plant capable of producing two products, of which the prices follow two independent geometric Brownian motions. After paying a constant sunk investment cost, the company sells the products on the market and thus receives a continuous stochastic revenue-flow. This investment problem is set as a twodimensional optimal stopping problem. We nd that the optimal investment decision is triggered by a convex curve, which we characterize as the unique continuous solution to a nonlinear integral equation. Furthermore, we provide analytical and numerical comparative statics results of the dependency of the project's value and investment decision with respect to the model's parameters.

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