A model for investment decisions with switching costs

• 成果类型: Article
• 署名作者: Duckworth, K; Zervos, M
• 署名单位: University of London; King's College London
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/aoap/998926992
• 发表日期: 2001
• 页码: 239-260
• 关键词: Valuation; OPTION

摘要

We address the problem of determining in an optimal way the sequence of times at which a firm can enter or exit an economic activity. In particular, we consider an investment model which involves production scheduling as well as a sequence of entry and exit decisions. The pricing of an investment conforming with this model gives rise to a stochastic impulse control problem that we explicitly solve. Our solution takes qualitatively different forms, depending on the problem's data.