capture this distinction, we adopt the multiple-priors utility model. We show that the impact of ambiguity on the option … exercise decision depends on the relative degrees of ambiguity about continuation payoffs and termination payoffs. Consequently … myopic NPV rule can be optimal for an agent having an extremely high degree of ambiguity aversion. …

often only has an approximate idea of the true probabilistic model underlying variables, making model ambiguity a relevant … problem. We show empirically how model ambiguity affects project values, and importantly, how option values change as model … ambiguity gets resolved in later phases of the projects considered. We show that traditional valuation approaches will …

often only has an approximate idea of the true probabilistic model underlying variables, making model ambiguity a relevant … problem. We show empirically how model ambiguity affects project values, and importantly, how option values change as model … ambiguity gets resolved in later phases of the projects considered. We show that traditional valuation approaches will …

afford this distinction, we adopt the multiple-priors utility model. We show that the impact of ambiguity on the option … exercise decision depends on the relative degrees of ambiguity about continuation payoffs and termination payoffs. Consequently …, ambiguity may accelerate or delay option exercise. We apply our results to investment and exit problems, and show that the …