Corporate Optimal Investment Under Incomplete Information: A Real Option Method
Corporate Optimal Investment Under Incomplete Information: A Real Option Method
Author(s): Mondher Bellalah, Shujuan Ding, Zhen WuSubject(s): Economy, Business Economy / Management
Published by: EDITURA ASE
Keywords: Optimal Investment; Incomplete information; Arbitrage; Real option;
Summary/Abstract: This paper develops an option pricing model to value a project with taxes and incomplete information. We derive the value of the option to invest in the project and provide the threshold value of the project. Some numerical examples are given to show the characteristics of the optimal investment rule.
Journal: The Review of Finance and Banking
- Issue Year: 4/2012
- Issue No: 1
- Page Range: 7-14
- Page Count: 8
- Language: English
