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Pré-Publication, Document De Travail Année : 2010

Real Options under Choquet-Brownian Ambiguity

Résumé

Real options models characterized by the presence of ambiguity have been recently proposed. But based on recursive multiple-priors approaches to solve ambiguity, these seminal models reduce individual preferences to extreme pessimism by considering only the worst case scenario. In contrast, by relying on dynamically consistent Choquet-Brownian motions to model the dynamics of ambiguous expected cash flows, we show that a much broader spectrum of attitudes towards ambiguity may be accounted for. In the case of a perpetual real option to invest, ambiguity aversion delays the moment of exercise of the option, while the opposite holds true for an ambiguity lover.
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Dates et versions

halshs-00534027 , version 1 (08-11-2010)

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  • HAL Id : halshs-00534027 , version 1

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David Roubaud, André Lapied, Robert Kast. Real Options under Choquet-Brownian Ambiguity. 2010. ⟨halshs-00534027⟩
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