IDEAS home Printed from https://ideas.repec.org/a/taf/eurjfi/v21y2015i10-11p791-805.html
   My bibliography  Save this article

High-speed rail transport valuation and conjecture shocks

Author

Listed:
  • Gualter Couto
  • Cláudia Nunes
  • Pedro Pimentel

Abstract

In this paper, we derive the optimal investment policy in a high-speed rail transport (HSR) project. We assume that the source of uncertainty comes from the annual demand, and that it follows a geometric Brownian motion with jumps of random magnitude, occurring in random times, according to a Poisson process. We assess the impact of these shocks on the demand threshold, along with the investment opportunity value and option to differ. We consider several distributions for these jumps, and we compare with the no-jumps case. Numerical results are presented, showing the importance of assumptions about the underlying stochastic process.

Suggested Citation

  • Gualter Couto & Cláudia Nunes & Pedro Pimentel, 2015. "High-speed rail transport valuation and conjecture shocks," The European Journal of Finance, Taylor & Francis Journals, vol. 21(10-11), pages 791-805, August.
    • Handle: RePEc:taf:eurjfi:v:21:y:2015:i:10-11:p:791-805
    DOI: 10.1080/1351847X.2012.665377
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/1351847X.2012.665377
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/1351847X.2012.665377?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Kim, Amy M. & Li, Huanan, 2020. "Incorporating the impacts of climate change in transportation infrastructure decision models," Transportation Research Part A: Policy and Practice, Elsevier, vol. 134(C), pages 271-287.
    2. Nunes, Cláudia & Pimentel, Rita, 2017. "Analytical solution for an investment problem under uncertainties with shocks," European Journal of Operational Research, Elsevier, vol. 259(3), pages 1054-1063.
    3. Kangsoo Kim & Hyejin Cho & Donghyung Yook, 2019. "Financing for a Sustainable PPP Development: Valuation of the Contractual Rights under Exercise Conditions for an Urban Railway PPP Project in Korea," Sustainability, MDPI, vol. 11(6), pages 1-14, March.
    4. Mohsen Momenitabar & Zhila Dehdari Ebrahimi & Mohammad Arani, 2020. "A Systematic and Analytical Review of the Socioeconomic and Environmental Impact of the Deployed High-Speed Rail (HSR) Systems on the World," Papers 2003.04452, arXiv.org, revised Mar 2020.
    5. Guo, Qianwen & Chen, Shumin & Sun, Yanshuo & Schonfeld, Paul, 2023. "Investment timing and length choice for a rail transit line under demand uncertainty," Transportation Research Part B: Methodological, Elsevier, vol. 175(C).
    6. Pimentel, Pedro & Couto, Gualter & Tavares, André & Oliveira, André, 2021. "The impacts of real options analysis on EU co-financing policy: the case of Ponta Delgada Port in the Azores," Research in Transportation Economics, Elsevier, vol. 90(C).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:eurjfi:v:21:y:2015:i:10-11:p:791-805. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/REJF20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.