文章基本信息

标题：Impacts of a regime switching (elections) in investment
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作者：Jean Marie Vianney Hakizimana ; Philip Ngare ; Jane Aduda Akinyi 等
期刊名称：Communications in Mathematical Finance
印刷版ISSN：2241-1968
电子版ISSN：2241-195X
出版年度：2019
卷号：8
期号：1
页码：37-50
语种：English
出版社：Scienpress Ltd
摘要：In this paper, we assess the impact on the timing of investment and option value for green energy company after election. For this fact, many parameters were taken into consideration such as the discount rate, the investment cost,the mean reversion speed, the mean reversion level, the uncertainty parameter, etc. The distribution of ? (advantages on the biological fuel due to the taxes system that can tolerate the use of it) after election is not known and is assumed to be uniformly distributed(Laplaces insufficient reason criterion). The simulation study was conducted and the optimal investment time together with the option value for the company were found considering the subsidies and lower taxes that can be made depending on regime switching.
关键词：Investment; Real options; Uniform distribution; Prices; Ambiguity