Risk-hedging using options for an upgrading investment in a data network - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2011

Risk-hedging using options for an upgrading investment in a data network

Résumé

In this paper, we illustrate how a mobile data network operator can plan an upgrading investment to anticipate explosions of the demand, taking into account the expected generated profit and the customers satisfaction. The former parameter grows with the demand, whereas the latter sinks if the demand is too high as throughput may collapse. As the equipment price decreases with time, it may be interesting to wait rather than to invest at once. We then propose a real option strategy to hedge against the risk that the investment has to take place earlier than expected. At last, we price this option with a backward dynamic programming approach, using recent improvements based on least-squares estimations.
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Dates et versions

hal-00627092 , version 1 (27-09-2011)

Identifiants

  • HAL Id : hal-00627092 , version 1

Citer

Frédéric Morlot, Thomas Redon, Salah Eddine Elayoubi. Risk-hedging using options for an upgrading investment in a data network. 2011. ⟨hal-00627092⟩
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