Download This PaperThe Valuation of N-Phased Investment Projects Under Jump-Diffusion Processes
Quaderni Working Papers DSE No. 697
24 Pages Posted: 24 Sep 2010
Date Written: March 8, 2010
Abstract
In this paper we consider N-phased investment opportunities where the time evolution of the project value follows a jump-diffusion process. An explicit valuation formula is derived under two different scenarios: in the fi rst case we consider fi xed and certain investment costs and in the second case we consider cost uncertainty and assume that investment costs follow a jump-diffusion process.
Keywords: N-fold compound options, sequential investments, jump-diffusion process
JEL Classification: G12, G13, G3, C6
Suggested Citation: Suggested Citation
Andergassen, Rainer and sereno, luigi, The Valuation of N-Phased Investment Projects Under Jump-Diffusion Processes (March 8, 2010). Quaderni Working Papers DSE No. 697, Available at SSRN: https://ssrn.com/abstract=1681349 or http://dx.doi.org/10.2139/ssrn.1681349
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