European Business Schools Librarian's Group

HEC Research Papers Series,
HEC Paris

No 767: Long-term risk management of nuclear waste : a real options approach

Marc CHESNEY (), Henri LOUBERGE () and Stéphane VILLENEUVE ()
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Henri LOUBERGE: University of Geneva
Stéphane VILLENEUVE: University of Evry

Abstract: In this paper, we investigate the optimal timing for deep geological disposal of nuclear waste. Our model is based on the real options approach to investment under uncertainty. In this context, the problem is similar to the optimal exercise policy for a perpetual American spread option. The potential usefulness of such a model for actual decision-making on a sensitive issue is illustrated by some numerical simulations.

Keywords: risk management; optimal stopping; real and American options

JEL-codes: C53; D81

22 pages, April 1, 2001

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