TY  - GEN
AB  - We consider a real options model for the optimal irreversible investment problem of a
profit maximizing company. The company has the opportunity to invest into a production plant
capable of producing two products, of which the prices follow two independent geometric Brownian
motions. After paying a constant sunk investment cost, the company sells the products on the market
and thus receives a continuous stochastic revenue-flow. This investment problem is set as a twodimensional
optimal stopping problem. We find that the optimal investment decision is triggered by a
convex curve, which we characterize as the unique continuous solution to a nonlinear integral equation.
Furthermore, we provide analytical and numerical comparative statics results of the dependency of
the project's value and investment decision with respect to the model's parameters.
DA  - 2021
KW  - Real Options
KW  - Irreversible Investment
KW  - Optimal Stopping
KW  - Nonlinear Integral Equation
KW  - Comparative Statics
LA  - eng
PY  - 2021
SN  - 0931-6558
SP  - 23-
TI  - On an Irreversible Investment Problem with Two-Factor Uncertainty
UR  - https://nbn-resolving.org/urn:nbn:de:0070-pub-29528604
Y2  - 2024-11-22T03:01:58
ER  -