英文标题：
《Technical Uncertainty in Real Options with Learning》
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作者：
Ali Al-Aradi, Alvaro Cartea, Sebastian Jaimungal
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最新提交年份：
2018
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英文摘要：
We introduce a new approach to incorporate uncertainty into the decision to invest in a commodity reserve. The investment is an irreversible one-off capital expenditure, after which the investor receives a stream of cashflow from extracting the commodity and selling it on the spot market. The investor is exposed to price uncertainty and uncertainty in the amount of available resources in the reserves (i.e. technical uncertainty). She does, however, learn about the reserve levels through time, which is a key determinant in the decision to invest. To model the reserve level uncertainty and how she learns about the estimates of the commodity in the reserve, we adopt a continuous-time Markov chain model to value the option to invest in the reserve and investigate the value that learning has prior to investment.
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中文摘要：
我们引入了一种新方法，将不确定性纳入投资商品储备的决策中。投资是一种不可逆转的一次性资本支出，之后投资者从提取商品并在现货市场出售中获得现金流。投资者面临价格不确定性和储量中可用资源量的不确定性（即技术不确定性）。然而，她确实通过时间了解了外汇储备水平，这是投资决策的关键决定因素。为了对储备水平的不确定性以及她如何了解储备中商品的估计值进行建模，我们采用连续时间马尔可夫链模型对投资储备的期权进行估值，并调查投资前学习的价值。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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