On an irreversible investment problem with two-factor uncertainty

  title={On an irreversible investment problem with two-factor uncertainty},
  author={Finn Dammann and Giorgio Ferrari},
  journal={Quantitative Finance},
  pages={907 - 921}
We consider a real options model for the optimal irreversible investment problem of a profit-maximizing company. The company has the opportunity to invest in a production plant capable of producing two products, of which the prices follow two independent geometric Brownian motions. After paying a constant sunk investment cost, the company sells the products on the market and thus receives a continuous stochastic revenue flow. This investment problem is set as a two-dimensional optimal stopping… 

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