Abstract
This paper considers an investment decision problem in continuous-time frame work, in which a firm can switch between a risky investment and a riskless investment. In this paper, I proposes a method to derive a closed-form solution to this (S, s) control problem. As a result, I derive the values of the conversion options and the critical thresholds analytically. The values of the conversion options are very helpful for us to interpret conversions between operations as exercises of the options. OR Subject Classification: Applications (Dynamic Programing), Investment (Financial Institutions), Maintenance/Replacement (Inventory/Production)
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