A Model for Investments in the Natural Resource Industry with Switching Costs

References

  • Brekke K. A., Øksendal B., Lund D., Øksendal B. The high contact principle as a sufficiency condition for optimal stopping. Stochastic Models and Option Values (1991) (North-Holland, Amsterdam) 187–208Google Scholar
  • Brekke K. A., Øksendal B. Optimal switching in an economic activity under uncertainty. SIAM J. Control Optim. (1994) 32:1021–1036CrossrefGoogle Scholar
  • Brekke K. A., Øksendal B. A verification theorem for combined stochastic control and impulse control. Stochastic Anal. Related Topics (1998) VI(Birkhäuser)211–220CrossrefGoogle Scholar
  • Brennan M. J., Schwartz E. S. Evaluating natural resource investments. J. Bus. (1985) 58:135–157CrossrefGoogle Scholar
  • Cadenillas A., Zapatero F. Classical and impulse stochastic control of the exchange rate using interest rates and reserves. Math. Finance (2000) 10:141–156CrossrefGoogle Scholar
  • Dixit A. Entry and exit decisions under uncertainty. J. Political Econom. (1989) 97:620–638CrossrefGoogle Scholar
  • Dixit A., Pindyck R. S.Investment under Uncertainty (1994) (Princeton University Press, Princeton, NJ) CrossrefGoogle Scholar
  • Duckworth K., Zervos M. An investment model with entry and exit decisions. J. Appl. Probability (2000) 37:547–559CrossrefGoogle Scholar
  • Duckworth K., Zervos M. A model for investment decisions with switching costs. Ann. Appl. Probab. (2001) 11:239–260CrossrefGoogle Scholar
  • Knudsen T. S., Meister B., Zervos M. Valuation of investments in real assets with implications for the stock prices. SIAM J. Control Optim. (1998) 36:2082–2102CrossrefGoogle Scholar
  • Knudsen T. S., Meister B., Zervos M. On the relationship of the dynamic programming approach and the contingent claim approach to asset valuation. Finance & Stochastics (1999) 3:433–449CrossrefGoogle Scholar
  • Kobila T. Ø. A class of solvable stochastic investment problems involving singular controls. Stochastics and Stochastics Reports (1993) 43:29–63CrossrefGoogle Scholar
  • Mundaca G., Øksendal B. Optimal stochastic intervention control with application to the exchange rate. J. Math. Econom. (1998) 29:225–243CrossrefGoogle Scholar
  • Perthame B. Continuous and impulsive control of diffusion processes in ℝN. Nonlinear Anal. (1984) 8:1227–1239CrossrefGoogle Scholar
  • Revuz D., Yor M.Continuous Martingales and Brownian Motion (1991) (Springer-Verlag)CrossrefGoogle Scholar
  • Shirakawa H. Evaluation of investment opportunity under entry and exit decisions. Math. Anal. Econom. (1997) 987:107–124Sūrikaisekikenkyūsho KōkyūrokuGoogle Scholar
  • Trigeorgis L.Real Options: Managerial Flexibility and Strategy in Resource Allocation (1996) (MIT Press, Cambridge, MA) Google Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.