2014 Fiscal Year Final Research Report
Development of Evaluating Models of Pollutant Reduction Investment Projects by using Real Options Approach and Their Applications
| Project/Area Number |
24510213
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Social systems engineering/Safety system
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| Research Institution | Doshisha University |
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Principal Investigator |
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| Project Period (FY) |
2012-04-01 – 2015-03-31
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| Keywords | リアルオプション / 汚染物質削減 / 確率制御 |
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| Outline of Final Research Achievements |
This study investigates pollution abatement investment projects by using real options method. Especially this study focuses as follows. 1) This study examines a firm’s pollutant abatement investment problem under uncertainty. It is assumed that the firm can invest in the pollutant abatement capital as necessary. Then, the firm’s problem is formulated as a singular stochastic control problem. The optimal investment strategy is shown. 2) This study also considers a firm's R&D project investment uncertainty. The firm has two R&D project options and must decide in which project to invest and when to invest in the chosen R&D project so as to maximize profit. Using this analysis, the firm's expenditure on R&D investment is endogenously derived and the optimal R&D investment strategy is shown. Furthermore, comparative static analyses show that how economic parameters like uncertainty impact on investment decision.
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| Free Research Field |
ファイナンス
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