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

  • CHESNEY, Marc

    ()

  • LOUBERGE, Henri

    ()

    (University of Geneva)

  • VILLENEUVE, Stéphane

    ()

    (University of Evry)

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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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
Contact details of provider: Postal: HEC Paris, 78351 Jouy-en-Josas cedex, France
Web page: http://www.hec.fr/

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  1. Jones-Lee, Michael W & Loomes, Graham, 1995. "Discounting and Safety," Oxford Economic Papers, Oxford University Press, vol. 47(3), pages 501-12, July.
  2. Thierry Schneider & Caroline Schieber & Louis Eeckhoudt & Christian Gollier, 1997. "Economics of Radiation Protection: Equity Considerations," Theory and Decision, Springer, vol. 43(3), pages 241-251, November.
  3. 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.
  4. 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.
  5. Hans U. Gerber & Hlias S. W. Shiu, 1996. "Martingale Approach To Pricing Perpetual American Options On Two Stocks," Mathematical Finance, Wiley Blackwell, vol. 6(3), pages 303-322.
  6. 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.
  7. 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.
  8. Palmer, Stephen & Smith, Peter C., 2000. "Incorporating option values into the economic evaluation of health care technologies," Journal of Health Economics, Elsevier, vol. 19(5), pages 755-766, September.
  9. Gollier, Christian, 2002. "Time Horizon and the Discount Rate," Journal of Economic Theory, Elsevier, vol. 107(2), pages 463-473, December.
  10. 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.
  11. Stephane Villeneuve, 1999. "Exercise regions of American options on several assets," Finance and Stochastics, Springer, vol. 3(3), pages 295-322.
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