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Long-term risk management of nuclear waste : a real options approach

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Author Info
CHESNEY, Marc ()
LOUBERGE, Henri () (University of Geneva)
VILLENEUVE, Stéphane () (University of Evry)

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Abstract

In this paper, we investigate the optimal timing for deep geological disposal of nuclear waste. Our model is based on the real options approach to investment under uncertainty. In this context, the problem is similar to the optimal exercise policy for a perpetual American spread option. The potential usefulness of such a model for actual decision-making on a sensitive issue is illustrated by some numerical simulations.

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Publisher Info
Paper provided by HEC Paris in its series Les Cahiers de Recherche with number 767.

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Length: 22 pages
Date of creation: 01 Apr 2001
Date of revision:
Handle: RePEc:ebg:heccah:0767

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Postal: HEC Paris, 78351 Jouy-en-Josas cedex, France
Web page: http://www.hec.fr/
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Related research
Keywords: risk management; optimal stopping; real and American options;

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Find related papers by JEL classification:
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications
D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

This item is featured on the following reading lists:

  1. Technology Assessment
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Yaozhong Hu & Bernt Øksendal, 1998. "Optimal time to invest when the price processes are geometric Brownian motions," Finance and Stochastics, Springer, vol. 2(3), pages 295-310. [Downloadable!] (restricted)
  2. Gollier, Christian & Rochet, Jean-Charles, 1998. "Discounting an Uncertain Future," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich.
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  3. Stephane Villeneuve, 1999. "Exercise regions of American options on several assets," Finance and Stochastics, Springer, vol. 3(3), pages 295-322. [Downloadable!] (restricted)
  4. Jones-Lee, Michael W & Loomes, Graham, 1995. "Discounting and Safety," Oxford Economic Papers, Oxford University Press, vol. 47(3), pages 501-12, July. [Downloadable!] (restricted)
  5. McDonald, Robert & Siegel, Daniel, 1986. "The Value of Waiting to Invest," The Quarterly Journal of Economics, MIT Press, vol. 101(4), pages 707-27, November. [Downloadable!] (restricted)
  6. Weitzman, Martin L., 1998. "Why the Far-Distant Future Should Be Discounted at Its Lowest Possible Rate," Journal of Environmental Economics and Management, Elsevier, vol. 36(3), pages 201-208, November. [Downloadable!] (restricted)
  7. Cropper, Maureen L & Aydede, Sema K & Portney, Paul R, 1994. "Preferences for Life Saving Programs: How the Public Discounts Time and Age," Journal of Risk and Uncertainty, Springer, vol. 8(3), pages 243-65, May.
  8. Margrabe, William, 1978. "The Value of an Option to Exchange One Asset for Another," Journal of Finance, American Finance Association, vol. 33(1), pages 177-86, March. [Downloadable!] (restricted)
  9. Gollier, Christian, 2002. "Time Horizon and the Discount Rate," Journal of Economic Theory, Elsevier, vol. 107(2), pages 463-473, December. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. BOBTCHEFF Catherine & VILLENEUVE Stephane, 2006. "Irreversible Investment in Competitive Projects: A New Motive for Waiting to Invest," Working Papers 06.20.213, LERNA, University of Toulouse. [Downloadable!]
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