E-business Investment Entry and Exit Decision with Jump Demand under Uncertainty

This paper develops an entry and exit decisions in e-business investment with jump demand under uncertainty. Plenty of papers studied the threshold of entry and exit decision with stochastic demand submitted to Geometric Brown Motion. In fact, however, demand in e-business market is likely to be impacted by positive or negative jump. Based on this cognition, this paper assumes that market demand follows a combined Geometric Brown Motion and Jump Process, and uses the real option method to evaluate e-business investment project and determines the entry and exit threshold. At the same time, the influence of parameter to investment threshold is discussed by numerical analysis of the model.