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
Programado
JC7 Procesos estocásticos 2
19 de abril de 2012 12:00
Sala Roma II
