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The real option with an absorbing barrier

  • Minh Ha-Duong

    ()

    (EPP - Department of Engineering and Public Policy, Carnegie Mellon University - Aucune, CIRED - Centre International de Recherche sur l'Environnement et le Développement - CIRAD : UMR56 - CNRS : UMR8568 - Ecole des Hautes Etudes en Sciences Sociales (EHESS) - Ecole des Ponts ParisTech - Ecole Nationale du Génie Rural des Eaux et Forêts)

  • Benoit Morel

    (EPP - Department of Engineering and Public Policy, Carnegie Mellon University - Aucune)

Ce papier analyse l'option réelle avec barrière inférieure. C'est le modèle d'un investissement irréversible soumis au risque de perdre l'option d'investir si on attend trop. La valeur critique pour investir décroit lorsque la barrière se rapproche, ou lorsque la volatilité augmente. L'incertitude a un effet ambigu sur le temps espéré de décision et sur la probabilité de résolution après N années. Les résultats numériques et analytiques s'appliquent aussi à une option financière aéricaine avec une "down-and-out barrier" sur un support payant des dividendes.

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File URL: http://halshs.archives-ouvertes.fr/docs/00/03/18/11/PDF/HaDuong.ea-2003-RealOptionBarrier.pdf
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Paper provided by HAL in its series Post-Print with number halshs-00003976.

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Date of creation: May 2003
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Handle: RePEc:hal:journl:halshs-00003976
Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00003976/en/
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  1. Gao, Bin & Huang, Jing-zhi & Subrahmanyam, Marti, 2000. "The valuation of American barrier options using the decomposition technique," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1783-1827, October.
  2. Avinash K. Dixit & Robert S. Pindyck, 1994. "Investment under Uncertainty," Economics Books, Princeton University Press, edition 1, volume 1, number 5474, March.
  3. Minh Ha-Duong, 1998. "Quasi-option value and climate policy choices," Post-Print halshs-00002457, HAL.
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