Information acquisition as an American option
Many information acquisition activities can be postponed within a predefined time-frame. In uncertain situations, the option to postpone the information acquisition to a later, more favorable time may create value. We discuss the value that comes from holding an option to acquire information in a time period and suggest a simulation-based numerical approach to calculate the associated value. We discuss that the value of information in a time period may be very different from the value of information in a single point in time. This value is closely linked to the uncertainty of the decision outcomes over the time period.
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