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Investment timing with regime switching

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dc.contributor.authorElliott, Robert J., author
dc.contributor.authorMiao, Hong, author
dc.contributor.authorYu, Jin, author
dc.contributor.authorInternational Journal of Theoretical and Applied Finance, publisher
dc.date.accessioned2020-05-18T22:28:07Z
dc.date.available2020-05-18T22:28:07Z
dc.date.issued2008-01-17
dc.descriptionIncludes bibliographical references (pages 29-31).
dc.descriptionPublished as: International Journal of Theoretical and Applied Finance, vol. 12, no. 4, pp. 443-463, 2009, https://doi.org/10.1142/S0219024909005361.
dc.description.abstractWe investigate the optimal investment timing strategy in a real option framework. Depending on the state of the economy, whose changes are modeled by a Markov chain, the investment cost can take one of two values. The optimal investment timing decision is determined by finding the free boundary of a perpetual American option. Three investment timing policies, based on different assumptions of investors' information sets, are determined and compared. In the full information case, a significantly earlier optimal exercising time is indicated. We show that an optimal-timing policy suggested by the conventional real option model might ruin the investment opportunities.
dc.format.mediumborn digital
dc.format.mediumarticles
dc.identifier.bibliographicCitationElliott, R., Miao, H. & Yu, J. (2009). Investment timing with regime switching. International Journal of Theoretical and Applied Finance, 12(4), 443-463. https://doi.org/10.1142/S0219024909005361
dc.identifier.urihttps://hdl.handle.net/10217/206886
dc.languageEnglish
dc.language.isoeng
dc.publisherColorado State University. Libraries
dc.relation.ispartofFaculty Publications
dc.rights©2009 World Scientific Publishing Co Pte Ltd. https://www.worldscientific.com/page/permissions.
dc.rightsCopyright and other restrictions may apply. User is responsible for compliance with all applicable laws. For information about copyright law, please see https://libguides.colostate.edu/copyright.
dc.subjectregime switching
dc.subjectreal option
dc.subjectinvestment timing
dc.titleInvestment timing with regime switching
dc.typeText

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