Investment Option Under Cir Interest Rates
We analyze extensively the characteristics of the solution to an irreversibleinvestment decision when the only source of uncertainty comes from interest rates.They are assumed to be driven by the popular Cox-Ingersoll-Ross (CIR) stochasticprocess. Particular attention is paid to the impact that both CIR parameters and riskaversion have on the threshold rate.
|Date of creation:||Oct 2007|
|Publication status:||Published by Ivie|
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World Scientific Publishing Co. Pte. Ltd..
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