Long-Term Risk Management of Nuclear Waste: A Real Options Approach

Henri Loubergé (1) , Stéphane Villeneuve (2) , Marc Chesney (3)

1 Department of Economics
2 Département de Mathématiques (Evry)
3 HEC Paris - Recherche - Hors Laboratoire

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.

Mots clés: Risk management; optimal stopping; real and American options

Domaines: Economie et sciences de la décision

Henri Loubergé, Stéphane Villeneuve, Marc Chesney. Long-Term Risk Management of Nuclear Waste: A Real Options Approach. 2002. ⟨hal-00594373⟩