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The Value of Waiting to Invest

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NBER1982-11-01 更新2025-01-04 收录
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This paper studies the optimal timing of investment in an irreversible project where the benefits from the project and the investment cost follow continuous-time stochastic processes. The optimal time to invest and an explicit formula for the value of the option to invest are derived. The rule

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1982-11-01
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