Analysis of the choice of investments: real options and production methods.

Summary This thesis deals with the optimal choice of investments in the light of real options theory and the consideration of different production modes. We first propose several extensions of the irreversible investment model of Pindyck (1988): introduction of more complex processes to describe the evolution of the market value and of very general production functions to describe the activity of the firm. Taking into account risk aversion in a dynamic optimization framework. Second, we show how Margrabe's (1978) exchange options can be used to solve certain investment choice problems. We propose various extensions and illustrations.