Skip to Main content Skip to Navigation
Other publications

The real option with an absorbing barrier.

Abstract : This paper analyzes the theoretical problem of the real option with barrier. It models an investment decision with a double irreversibility concern: investing is irreversible, but waiting runs the risk of loosing the opportunity to invest. The optimal strategy leads to earlier investment when the barrier increases, or when uncertainty decreases. Uncertainty has ambiguous effects on the expected decision time and on the investment probability after N years. Analytical and numerical results also apply to the perpetual American call with a down-and-out barrier on a dividend paying asset.
Document type :
Other publications
Complete list of metadata

Cited literature [12 references]  Display  Hide  Download

https://halshs.archives-ouvertes.fr/halshs-00003976
Contributor : Minh Ha-Duong Connect in order to contact the contributor
Submitted on : Tuesday, June 28, 2005 - 5:13:23 PM
Last modification on : Friday, October 8, 2021 - 4:26:01 PM
Long-term archiving on: : Thursday, April 1, 2010 - 9:47:58 PM

Identifiers

  • HAL Id : halshs-00003976, version 1

Citation

Minh Ha-Duong, Benoit Morel. The real option with an absorbing barrier.. 2003. ⟨halshs-00003976⟩

Share

Metrics

Record views

497

Files downloads

371