Re-examining the investment-uncertainty relationship in a real options model

Chuang Chang Chang, Miao Ying Chen

研究成果: 雜誌貢獻期刊論文同行評審

7 引文 斯高帕斯(Scopus)

摘要

The main purpose of this paper is to re-examine the investment-uncertainty relationship in a real options model, and demonstrates that the Sarkar (J Econ Dyn Control 24:219-225, 2000) model is a special case of our model. This paper uses a general dynamic process, which incorporates mean reversion and jumps in a firm's project earnings. We further derive a quasi-analytical form solution for the critical investment value and investment probability of a firm's projects. From the simulation results, we find that an increase in uncertainty can always lead to an increase in the probability of investment, and thus has a positive impact on investment. These results, which differ from the findings of Sarkar (J Econ Dyn Control 24:219-225, 2000), could be explained by the mean-reversion and jump effects on a firm's earnings.

原文???core.languages.en_GB???
頁(從 - 到)241-255
頁數15
期刊Review of Quantitative Finance and Accounting
38
發行號2
DOIs
出版狀態已出版 - 2月 2012

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