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Dynamic Selection of Postponable Investment Projects with Uncertain Interest-rate |
HUANG Wei-Lai, HUANG Song, ZHANG Zi-Gang |
Huazhong University of Science and Technology,Wuhan,China |
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Abstract According to arbitrage-free interest rate model,some methods for determining the discount function and the short rate were explored after describing binomial event tree.Then other methods for computing net present value and adjusted net present value of an investment project were also studied on basis of the node of binomial event tree with uncertain interest-rate.Finally a method for a dynamic selection of postponable investment project with uncertain interest-rate was proposed and illustrated with an example.
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Received: 21 September 2004
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