Study On Investment Timing Decision Model For Project Income Satisfying Geometric Brownian Motion With Poisson Jump

For the general investment decision problem,some scholars pointed out that the company’s cash holdings will affect the selection of investment timing.They assumed that the project returns meet the geometric Brownian motion,and obtained the investment decision timing model by using the real option theory of investment.On this basis,considering that using geometric Brownian motion to describe project returns is relatively ideal,this paper assumes that project returns follow geometric Brownian motion with Poisson jump,and studies the investment timing selection model under two situations of sufficient and insufficient cash holdings of the company,and obtains a conclusion more close to the real scene.In the aspect of numerical analysis,this paper focuses on the influence of the newly introduced parameters on the final results,and makes a comparison with the previous results.Combined with specific numerical examples,it analyzes how to select the investment opportunity under the assumption that the project income obeys the geometric Brownian motion with Poisson jump.