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

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

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