リアルオプション研究
Online ISSN : 1884-1635
Print ISSN : 1881-5774
ISSN-L : 1881-5774
7 巻 , 1 号
選択された号の論文の2件中1~2を表示しています
理論研究
  • 董 晶輝, 飯原 慶雄
    2015 年 7 巻 1 号 p. 1-11
    発行日: 2015年
    公開日: 2015/06/25
    ジャーナル フリー
    We carry out a comparative statics analysis for a two-dimensional real option model under two correlated geometric Brownian motions, especially focus on the expected waiting time to invest. We find that the volatilities in the two-dimensional model have more complex effects than they have in the one-dimensional model. Although an increase in the threshold which caused by a change in value of a parameter leads to longer expected waiting time in the one-dimensional model, it is not always the case for the two-dimensional model. This result suggests that a two-dimensional real options model is not only more realistic but also more useful in making acceptable investment plans.
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