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SUMMARY:Cláudia Nunes (CEMAT and IST)
DTSTART:20200528T100000Z
DTEND:20200528T110000Z
DTSTAMP:20260423T003243Z
UID:ProbStat/1
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/ProbStat/1/"
 >Quasi-analytical solution of an investment problem with decreasing invest
 ment cost due to technological innovations</a>\nby Cláudia Nunes (CEMAT a
 nd IST) as part of Probability & Statistics  (IST-CEMAT\, FC-CEAUL\, ULisb
 on)\n\n\nAbstract\nIn this talk we address\, in the context of real option
 s\, an investment problem with two sources of uncertainty: the price (refl
 ected in the revenue of the firm) and the level of technology. The level o
 f technology impacts in the investment cost\, that decreases when there is
  a technology innovation. The price follows a geometric Brownian motion\, 
 whereas the technology innovations are driven by a Poisson process. As a c
 onsequence\, the investment region may be attained in a continuous way (du
 e to an increase of the price) or in a discontinuous way (due to a sudden 
 decrease of the investment cost).\n\nFor this optimal stopping problem no 
 analytical solution is known\, and therefore we propose a quasi-analytical
  method to find an approximated solution that preserves the qualitative fe
 atures of the exact solution. This method is based on a truncation procedu
 re and we prove that the truncated solution converges to the solution of t
 he original problem.\n\nWe provide results for the comparative statics for
  the investment thresholds. These results show interesting behaviors\, par
 ticularly\, the investment may be postponed or anticipated with the intens
 ity of the technology innovations and with their impact on the investment 
 cost.\n\n(joint work with Carlos Oliveira and Rita Pimentel)\n
LOCATION:https://researchseminars.org/talk/ProbStat/1/
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