Multi-assets real options

Real options present a wide topic in investment litterature nowadays. However, despite bigadvances in the single asset investment pricing, the theory is miser of informations aboutproblems involving more than one asset. We show in this paper that using dynamic programming,one can find an analytic trigger for a three assets simple exchange problem. Although we get aforward investment rule, one can not find the precise option value ex ante but only an averagevalue. The precise option value depends on the first exit time from the continuation region whichis stochastic.This is a quite intuitive effect of the course of dimensionality of the problem. Valuating asingle asset project gives a single condition for the optimal decision rule. The same holds for thesimple exchange problem with two assets since the value of the project just depends on the priceover cost ratio. In a three assets problem, as the project don’t depend anymore of a single statevariable, one can’t run for a decision rule depending on the first exit time from the continuationregion.....