# On an irreversible investment problem with two-factor uncertainty

@article{Dammann2021OnAI, title={On an irreversible investment problem with two-factor uncertainty}, author={Finn Dammann and Giorgio Ferrari}, journal={Quantitative Finance}, year={2021}, volume={22}, 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…

## 2 Citations

### Optimal Execution with Multiplicative Price Impact and Incomplete Information on the Return

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. We study an optimal liquidation problem with multiplicative price impact in which the trend of the asset’s price is an unobservable Bernoulli random variable. The investor aims at selling over an…

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This paper considers investment problems in real options with non-homogeneous two-factor uncertainty. We derive some analytical properties of the resulting optimal stopping problem and present a…

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