リアルオプションアプローチによる平均回帰過程の下での投資タイミングの分析

• 福井 勇太

  慶應義塾大学大学院理工学研究科

• 今井 潤一

  慶應義塾大学理工学部

書誌事項

タイトル別名

• Optimal Investment Timing under A Mean-reverting Process: A Real Options Approach

抄録

This paper investigates the optimal entry and exit decisions under a mean-reverting process over a finite horizon. Many theoretical studies on real options assume that an underlying risk follows a geometric Brownian motion over an infinite-time horizon. This assumption is not always practical, especially in discussing realistic investment strategies. In this paper, we examine effects of the mean-reverting process on both entry and exit decisions over a finite horizon. We focus on deriving the optimal boundaries of entry and exit decisions under a mean-reverting process, and compare the effects of the underlying risk process and length of the project horizon on the optimal decisions. Numerical examples in this paper demonstrate that the length of horizon could have a significant impact on the boundaries of the optimal decisions, and hence on project values, particularly under a mean-reverting process.

収録刊行物

• リアルオプション研究

  リアルオプション研究 7 (2), 37-57, 2015

  日本リアルオプション学会

キーワード

• Real options
• Mean-reverting processes
• Investment timing
• Finite horizon

詳細情報

• CRID: 1390282680293962240
• NII論文ID: 130005117645
• DOI: 10.12949/realopn.7.37
• ISSN: 18841635
• ISSN: 18815774
• Web Site: https://www.jstage.jst.go.jp/article/realopn/7/2/7_37/_pdf
• 本文言語コード: ja
• データソース種別:
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