# On an Irreversible Investment Problem with Two-Factor Uncertainty

@inproceedings{Dammann2021OnAI, title={On an Irreversible Investment Problem with Two-Factor Uncertainty}, author={F. Dammann and Giorgio Ferrari}, year={2021} }

We consider a real options model for the optimal irreversible investment problem of a profit maximizing company. The company has the opportunity to invest into a production plant capable of producing two products, of which the prices follow two independent geometric Brownian motions. After paying a constant sunk investment cost, the company sells the products on the market and thus receives a continuous stochastic revenue-flow. This investment problem is set as a twodimensional optimal stopping… Expand

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