scholarly journals Optimal timing of price change with strategic customers under demand uncertainty: A real option approach

2019 ◽  
Vol 14 (3) ◽  
pp. 379-390 ◽  
Author(s):  
Y. Lee ◽  
J.P. Lee ◽  
S. Kim
Keyword(s):  
Demand Uncertainty ◽  
Real Option ◽  
Price Change ◽  
Optimal Timing ◽  
Strategic Customers ◽  
Real Option Approach

Optimal timing of investments modeled as perpetual american options in a lévy market

2021 ◽  
pp. 2150025
Author(s):  
Ini Adinya ◽  
G. O. S. Ekhaguere
Keyword(s):  
Infinitesimal Generator ◽  
Real Option ◽  
Real Life ◽  
Jump Diffusion ◽  
Poisson Processes ◽  
Optimal Time ◽  
Optimal Timing ◽  
Call Option ◽  
Maturity Date ◽  
Real Option Approach

Using a real option approach, this paper models an arbitrary real life investment, which typically has a long maturity date, as a perpetual American call option in a Levy market. Expressions for the moments, characteristic function and infinitesimal generator of the associated jump-diffusion Levy process, defined by two independent compound Poisson processes and two correlated standard Brownian motions, are derived and these fundamental results are employed to determine the optimal time for investment. An application of the results to a Build Operate and Transfer investment is furnished.

scholarly journals An Optimal Timing of Engine Remanufacturing – A Real Option Approach

Procedia CIRP ◽  
2014 ◽  
Vol 15 ◽  
pp. 223-227 ◽  
Author(s):  
Zhichao Liu ◽  
Qiuhong Jiang ◽  
Tao Li ◽  
Hongchao Zhang
Keyword(s):  
Real Option ◽  
Optimal Timing ◽  
Real Option Approach

Reserve estimation of an open pit mine under price uncertainty by real option approach

2009 ◽  
Vol 19 (6) ◽  
pp. 709-717 ◽  
Author(s):  
Afshin Dehkharghani AKBARI ◽  
Morteza OSANLOO ◽  
Mohsen Akbarpour SHIRAZI
Keyword(s):  
Real Option ◽  
Open Pit Mine ◽  
Open Pit ◽  
Price Uncertainty ◽  
Reserve Estimation ◽  
Real Option Approach
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