Valuation of N−stage investments under jump-di usion processes
نویسندگان
چکیده
In this paper we consider N−phased investment opportunities where the time evolution of the project value follows a jump-di usion process. An explicit valuation formula is derived under two di erent scenarios: in the rst case we consider xed and certain investment costs and in the second case we consider cost uncertainty and assume that investment costs follow a jump-di usion process.
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