F. Macedo, C. Nunes, P. Kort, V. Hagspiel

In this work we derive the optimal investment policy regarding the launching of a new and more appealing product. Moreover, we assume that a company is producing and selling an established product, but the company is ready to put a new product into the market, which will compete with the original one.In a previous work (Calaim (2011)), the author derives the optimal policy in a real options context, assuming that the uncertainty process (related with the demand) follows a geometric brownian motion, and that price, quantity and demand are related by a linear demand function. Here we assume other demand functions; in particular we assume an isoelastic demand function with multiplicative factors. For this case we derive the optimal investment policy, and show numerical values. We also compare the results, seeking for a kind of robustness in the optimal investment policy. Bibliography: N. Calaim, Optimal Investment policy in competitive products.

Palabras clave: optimal stopping real options geometric brownian motion first passage time

H. Laniado, R. E. Lillo, F. Pellerey, J. Romo

A. Castaño Martínez, F. López Blázquez, B. Salamanca Miño

G. Sanz Sáiz, R. Gouet, F. J. López