Ewald, Christian-Oliver; Yang, Zhaojun - In: Mathematical Methods of Operations Research 68 (2008) 1, pp. 97-123
We study the classical real option problem in which an agent faces the decision if and when to invest optimally into a project. The investment is assumed to be irreversible. This problem has been studied by Myers and Majd (Adv Futures Options Res 4:1–21, 1990) for the case of a complete...