Professor Kristian Miltersen from Norwegian School of Economics and Business Administration is giving a VGSF research seminar on "REAL OPTIONS WITH UNCERTAIN MATURITY AND COMPETITION" on December 7 (Friday, 15:30-17:00), at the Institute for Advanced Studies (HS II), Stumpergasse 56, 1060 Vienna. The paper to be presented can be downloaded at the VGSF webpage (Activities & Events--> Research Seminars). The abstract of the paper is attached below.

Kristian will visit BWZ on Dec 5-7. If you would like to meet him at BWZ, please let me know as soon as possible.

Kind regards,

Youchang Wu

Abstract. We develop a new approach to dealing with real options problems with uncertain maturity. This approach is highly applicable to analyze R&D investments and mine or oil exploration projects. These projects are characterized by signi.cant on-going investment costs until completion. Since time to completion is uncertain, the total investment costs will also be uncertain. Despite the fact that these projects include complicated American abandonment/switching options until completion and European options at completion (because of .xed .nal investment costs) we obtain simple closed form solutions. We apply the framework to situations in which the owner of the project has monopoly rights to the outcome of the project, and to situations in which there are two owners who simultaneously invest, but where only one of them may obtain the rights to the outcome. We expand the real options framework to incorporate game theoretic considerations, including a generalization of mixed strategies to continuous-time models in the form of abandonment intensities.