Investment option under CIR interest rates
Journal:
Working papers = Documentos de trabajo: Serie AD
Year of publication: 2007
Issue: 24
Type: Working paper
Abstract
We analyze extensively the characteristics of the solution to an irreversibleinvestment decision when the only source of uncertainty comes from interest rates.They are assumed to be driven by the popular Cox-Ingersoll-Ross (CIR) stochasticprocess. Particular attention is paid to the impact that both CIR parameters and riskaversion have on the threshold rate.