The Value of Waiting to Invest
研究不可逆项目的最佳投资时机，假设收益和成本服从连续时间随机过程，推导出最优投资规则和期权价值公式，并应用于报废决策。模拟显示期权价值显著，合理参数下应等到收益为成本两倍时再投资。
This paper studies the optimal timing of investment in an irreversible project where the benefits from the project and the investment cost follow continuous-time stochastic processes. The optimal investment rule and an explicit formula for the value of the option to invest are derived, assuming that the option is valued by risk-averse investors who are well diversified. The same analysis is applied to the scrapping decision. Simulations show that this option value can be significant, and that for reasonable parameter values it is optimal to wait until benefits are twice the investment costs.