| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/t0023 |
| 来源ID | Technical Working Paper 0023 |
| Stochastic Capital Theory I. Comparative Statics | |
| William A. Brock; Michael Rothschild; Joseph E. Stiglitz | |
| 发表日期 | 1982-05-01 |
| 出版年 | 1982 |
| 语种 | 英语 |
| 摘要 | Introductory lectures on capital theory often begin by analyzing the following problem: I have a tree which will be worth X(t) if cut down at time t. If the discount rate is r, when should the tree be cut down? What is the present value of such a tree? The answers to these questions are straightforward. Since at time t a tree which I plan to cut down at time T is worth e[to the power of rt]e[to the power of ?rT]X(T), I should choose the cutting date T* to maximize e[to the power of -rT]X(T); at t < T* a tree is worth e[to the power of rt]e[to the power of -rT*]X(T*). In this paper we analyze how the answers to these questions of timing and evaluation change when the tree's growth is stochastic rather than deterministic. Suppose a tree will be worth X(t,w) if cut down at time t when X(t,w) is a stochastic process. When should it be cut down? What is its present value? We study these questions for trees which grow according to both discrete and continuous stochastic processes. The approach to continuous time stochastic processes contrasts with much of the finance literature in two respects. First, we obtain sharp aomparative statics results without restricting ourselves to particu,ar stochastic specifications. Second, while the option pricing literature seems to imply that increases in variance always increase value, we show that an increase in the variance of a Tree's growth has ambiguous effects on its value. |
| 主题 | Other |
| URL | https://www.nber.org/papers/t0023 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/558101 |
| 推荐引用方式 GB/T 7714 | William A. Brock,Michael Rothschild,Joseph E. Stiglitz. Stochastic Capital Theory I. Comparative Statics. 1982. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| t0023.pdf（1567KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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