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Threshold-type Policies for Real Options Using Regime-Switching Models
To investigate the impact of macroeconomic conditions on irreversible investments under a regime switching model, our main effort in this work is to rigorously justify the existence and uniqueness of optimal threshold-type ...
Sequential Capacity Expansion Options
This paper considers a firm's capacity expansion decisions under uncertainty. The firm has leeway in timing investments and in choosing how much capacity to install at each investment time. We model this problem as the ...