ANALYSIS OF INVESTMENT UNCERTAINTY RELATIONSHIP UNDER A JUMP-DIFFUSION MODEL AND CONSTANT ELASTICITY OF VARIANCE PROCESS

NCUIR > School of Management at National Central University > Department of Finance > journal & Dissertation > Item 987654321/104740

Please use this identifier to cite or link to this item: https://ir.lib.ncu.edu.tw/handle/987654321/104740

Title:	ANALYSIS OF INVESTMENT UNCERTAINTY RELATIONSHIP UNDER A JUMP-DIFFUSION MODEL AND CONSTANT ELASTICITY OF VARIANCE PROCESS
Authors:	張傳章;Chen), 陳妙盈(Miao-Ying;Chang), 張傳章(Chuang-Chang;Chang), 張竹萱(Chu-Hsuan;Li), 李世偉(Shi-Wei
Contributors:	管理學院財務金融學系
Keywords:	CEV;CEV 模型;EconLit;Investment;Jump-diffusion process;Real options model;TSCI;實質選擇權;跳躍擴散模型
Date:	2016-12-01
Issue Date:	2026-04-23 11:56:56 (UTC+8)
Publisher:	中國統計學社;台灣: 中國統計學社
Abstract:	摘要： Applying the real options approach, this paper uses a jump-diffusion model with constant elasticity of variance (CEV) components by choosing a compound Poisson process to examine the investment opportunity. Through incorporation of unpredictable but sizeable changes in a firm's projected earnings, the jump-diffusion CEV model can depict the jump effect on earnings under investment uncertainty by modeling the constant volatility change over time, enabling evaluation of the probability that an investment will take place. Using the jump-diffusion CEV model, this study demonstrates that the critical investment value is an increasing function of jump size and a decreasing function of the CEV elasticity parameter. Furthermore, this paper shows that both the direction of the jump and jump frequency may influence the investment opportunity. Numerical results show that the probability of investment may increase when jumps are expected to be positive and more frequent in the earnings stream. Conversely, investment opportunity is likely to decrease with more frequent but negative jumps in expected cash flows. 出版者：台灣: 中國統計學社出版日期： 2016-12-01 出處：中國統計學報, 2016-12, Vol.54 (4), p.205-228 資源來源： Chinese Electronic Periodical Services (CEPS) 識別號： ISSN: 0529-6528
Appears in Collections:	[Department of Finance] journal & Dissertation

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