The valuation of N-phased investment projects under jump-diffusion processes
AbstractIn 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
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Bibliographic InfoPaper provided by Dipartimento Scienze Economiche, Universita' di Bologna in its series Working Papers with number 697.
Date of creation: Mar 2010
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-04-04 (All new papers)
- NEP-INO-2010-04-04 (Innovation)
- NEP-PPM-2010-04-04 (Project, Program & Portfolio Management)
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