The effects of an uncertain abandonment value on the investment decision
本文用三因子随机实物期权模型，研究放弃机会对投资决策的影响，发现放弃期权价值使投资机会更有吸引力，但影响不大；放弃价值波动增加反而降低项目价值门槛。
Using a three-factor stochastic real option model framework, this paper examines the effects of abandonment on the investment decision. Abandonment is classified according to whether the opportunity arises for an active operating asset post-investment, or for holding the project opportunity pre-investment. Separate analytical models are developed for the alternative forms of abandonment optionality. Numerical sensitivity analysis shows that the presence of a post-investment abandonment opportunity makes the investment opportunity appear to be more attractive because of the abandonment option value, but not by a considerable amount. Also, in contrast to the standard real option finding, an abandonment value volatility increase produces a project value threshold fall owing to the increase in the abandonment option value.