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Real options and threshold strategies

IFIP Advances in Information and Communication Technology (2016) 494 78-88
DOI: 10.1007/978-3-319-55795-3_6
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Abstract

The paper deals an investment timing problem appearing in real options theory. The present values from an investment project are modeled by general diffusion process. We find necessary and sufficient conditions under which the optimal investment time is induced by a threshold strategy. We study also conditions for optimality of the threshold strategy (over all threshold strategies) and discuss the connection between the solutions to the investment timing problem and the free-boundary problem.

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APA

Arkin, V., & Slastnikov, A. (2016). Real options and threshold strategies. In IFIP Advances in Information and Communication Technology (Vol. 494, pp. 78–88). Springer New York LLC. https://doi.org/10.1007/978-3-319-55795-3_6

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