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• W2794841438 abstract "This paper considers investment problems in real options with non-homogeneous two-factor uncertainty. We derive some analytical properties of the resulting optimal stopping problem and present a finite difference algorithm to approximate the firm’s value function and optimal exercise boundary. An important message in our paper is that the frequently applied quasi-analytical approach underestimates the impact of uncertainty. This is caused by the fact that the quasi-analytical solution does not satisfy the partial differential equation that governs the value function. As a result, the quasi-analytical approach may wrongly advise to invest in a substantial part of the state space." @default.
• W2794841438 created "2018-04-06" @default.
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• W2794841438 date "2021-11-08" @default.
• W2794841438 modified "2023-09-27" @default.
• W2794841438 title "Investment Decisions with Two-Factor Uncertainty" @default.
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• W2794841438 doi "https://doi.org/10.3390/jrfm14110534" @default.
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