Please use this identifier to cite or link to this item: https://hdl.handle.net/1822/25930

TitleOptimal investment with two-factor uncertainty
Author(s)Armada, Manuel José da Rocha
Pereira, Paulo Jorge
Rodrigues, Artur
KeywordsMultiple stochastic factors
Uncertainty
Real options
Issue dateSep-2013
PublisherSpringer
JournalMathematics and financial economics
Abstract(s)This paper presents a real options model to value the option to invest in a project contingent on two stochastic factors. A general sensitivity analysis is conducted highlighting the importance of the variance and correlation between the two variables. A higher correlation is shown to increase always the values of the trigger, the active project and the option. The impact of uncertainty is more complex and depends on the assumption about which variables adjust and the correlation between the variables and the market.
TypeArticle
URIhttps://hdl.handle.net/1822/25930
DOI10.1007/s11579-013-0101-1
ISSN1862-9679
1862-9660
Publisher versionhttp://link.springer.com/article/10.1007%2Fs11579-013-0101-1#page-1
Peer-Reviewedyes
AccessRestricted access (UMinho)
Appears in Collections:NIPE - Artigos em Revistas de Circulação Internacional com Arbitragem Científica

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