The valuation of N-phased investment projects under jump-diffusion processes

Rainer Andergassen, Luigi Sereno

In this paper we consider N-phased investment opportunities where the time evolution of the project value follows a jump-diffusion process. An explicit valuation formula is derived under two different scenarios: in the first case we consider fixed and certain investment costs and in the second case we consider cost uncertainty and assume that investment costs follow a jump-diffusion process.

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Year of publication:	March 8, 2010
Authors:	Andergassen, Rainer ; Sereno, Luigi
Publisher:	Bologna : Dipartimento di Scienze economiche DSE
Subject:	N-fold compound options \| sequential investments \| jump-diffusion process \| Optionspreistheorie \| Option pricing theory \| Stochastischer Prozess \| Stochastic process \| Realoptionsansatz \| Real options analysis \| Investition \| Investment \| Investitionsentscheidung \| Investment decision \| CAPM

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