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- High Speed rail transport valuation and conjuncture shocksPublication . Couto, Gualter; Nunes, Cláudia; Pimentel, PedroIn the present paper we derive the optimal investment policy of investment in the high speed rail (HSR) project, under uncertainty, using the real options analysis (ROA) framework. We assume that the HSR demand, the main source of uncertainty, follows a geometric brownian motion with random jumps, complying with abrupt change of level caused by random events. The occurrence of such events is caused by external shocks. We assess the impact of these shocks in the HSR demand threshold, along with the investment opportunity value, and the option to differ. We consider several distributions for these jumps, and we compare with the base-line case (where exogeneous jumps are not considered).
- Introducing random investment in high speed rail transport valuationPublication . Couto, Gualter; Nunes, Cláudia; Pimentel, PedroIn this paper, we extend Couto et al. (2012) high-speed rail (HSR) transport valuation model based on real options analysis, in order to embrace random investment. Optimal timing to invest, value of the option to defer and investment opportunity value are assessed considering uncertainty upon HSR demand and investment expenditures, both following a geometric Brownian motion with jumps driven by Poisson processes. Numerical results presented, showing the consistence with the former model and the additional uncertainty impact.