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Asset Replacement Generalizations : Jumps, Stopping Time and a Paradox

Unexpected events are introduced to the asset replacement algorithm, and modeled by a Poisson process for all cash-flows. Resale price result is expected to decrease randomly with jumps. A risk-neutral stopping time, evaluating the probability of a gain from the first minimum in the valuation sequence in comparison to a longer cycle, is illustrated with a stochastic logistic process. The solution to this option reveals a Paradox – the probabilities for a longer cycle and the risk-free rate are mutually exclusive
Year of publication:
2019
Authors: Rabinovitz, Yedidya
Publisher: [2019]: [S.l.] : SSRN
freely available
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