A Bayesian Approach to Real Options: The Case of Distinguishing between Temporary and Permanent Shocks
传统实物期权模型强调等待期权，但本文引入对过去冲击永久性的贝叶斯不确定性，增加了学习期权，发现投资行为在稳定或下降现金流时可能发生，对冲击反应迟钝，且取决于现金流时机。
ABSTRACT Traditional real options models demonstrate the importance of the “option to wait” due to uncertainty over future shocks to project cash flows. However, there is often another important source of uncertainty: uncertainty over the permanence of past shocks. Adding Bayesian uncertainty over the permanence of past shocks augments the traditional option to wait with an additional “option to learn.” The implied investment behavior differs significantly from that in standard models. For example, investment may occur at a time of stable or decreasing cash flows, respond sluggishly to cash flow shocks, and depend on the timing of project cash flows.