Real-Option Valuation in Multiple Dimensions Using Poisson Optional Stopping Times
提出一种基于泊松可选停止时间（POST）的新框架，用于估值多维实物期权，该方法通过单调下界序列求解价值函数，在案例中优于准解析方法，且易于实现、计算可靠。
We provide a new framework for valuing multidimensional real options where opportunities to exercise the option are generated by an exogenous Poisson process, which can be viewed as a liquidity constraint on decision times. This approach, which we call the Poisson optional stopping times (POST) method, finds the value function as a monotone sequence of lower bounds. In a case study, we demonstrate that the frequently used quasi-analytic method yields a suboptimal policy and an inaccurate value function. The proposed method is demonstrably correct, straightforward to implement, reliable in computation, and broadly applicable in analyzing multidimensional option-valuation problems.