Zur Seitenansicht


 Das Dokument ist frei verfügbar.

We consider a real options model for the optimal irreversible investment problem of a

profit maximizing company. The company has the opportunity to invest into a production plant

capable of producing two products, of which the prices follow two independent geometric Brownian

motions. After paying a constant sunk investment cost, the company sells the products on the market

and thus receives a continuous stochastic revenue-flow. This investment problem is set as a twodimensional

optimal stopping problem. We find that the optimal investment decision is triggered by a

convex curve, which we characterize as the unique continuous solution to a nonlinear integral equation.

Furthermore, we provide analytical and numerical comparative statics results of the dependency of

the project's value and investment decision with respect to the model's parameters.