Model-free analysis of real option exercise probability and timing
用分位数保持扩展和随机占优方法，研究修改实物期权特征如何影响其持有价值和最优行权决策，结果适用于任意基础过程和一般看涨类收益函数，为气候金融等领域提供可检验预测。
This paper investigates the effects of modifying a real option's characteristics on its holding value and optimal exercise decision using quantile-preserving spreads and stochastic dominance. We show that the change in exercise probability and timing depends on the preserved quantile, strike price, time of modification, and modification symmetry, and we significantly generalize previously obtained results to an unspecified underlying process and a general call-like payoff function. Our results offer testable predictions that contribute to the literature on climate finance, real options, and financial options and provide practical guidance for determining how to modify a real option to increase or decrease its exercise probability and timing.