Investment option under CIR interest rates

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Title:	Investment option under CIR interest rates
Authors:	Carmona-Martínez, Julio \| León Valle, Ángel M.
Research Group/s:	Finanzas de Mercado y Econometría Financiera
Center, Department or Service:	Universidad de Alicante. Departamento de Fundamentos del Análisis Económico
Keywords:	CIR process \| Project value \| Real options \| Risk aversion
Issue Date:	25-Sep-2007
Publisher:	Elsevier
Citation:	Finance Research Letters. 2007, 4(4): 242-253. https://doi.org/10.1016/j.frl.2007.09.002
Abstract:	We analyze extensively the characteristics of the solution to an irreversible investment decision when the only source of uncertainty comes from interest rates. They are assumed to be driven by the popular Cox–Ingersoll–Ross (CIR) stochastic process. Particular attention is paid to the impact that both CIR parameters and risk aversion have on the threshold rate.
Sponsor:	Financial support from the Spanish Ministry of Education and Science through the grant SEJ 2005-09372 (Leon) and SEJ 2004-05815 (Carmona) is gratefully acknowledged.
URI:	http://hdl.handle.net/10045/140322
ISSN:	1544-6123 (Print) \| 1544-6131 (Online)
DOI:	10.1016/j.frl.2007.09.002
Language:	eng
Type:	info:eu-repo/semantics/article
Rights:	© 2007 Elsevier Inc.
Peer Review:	si
Publisher version:	https://doi.org/10.1016/j.frl.2007.09.002
Appears in Collections:	INV - Finanzas de Mercado y Econometría Financiera - Artículos de Revistas

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