FINANCIAL HEDGING OF OPERATIONAL FLEXIBILITY

DOI10.1142/S0219024908005044zbMath1180.91305OpenAlexW2087563208MaRDI QIDQ3621562

Michael Ludkovski

Publication date: 21 April 2009

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024908005044

zbMATH Keywords

stochastic incomeindifference pricingoperational flexibilitycompound options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (4)

An optimal multiple stopping approach to infrastructure investment decisions ⋮ Indifference pricing of pure endowments and life annuities under stochastic hazard and interest rates ⋮ Utility indifference pricing and hedging for structured contracts in energy markets ⋮ Pricing Asset Scheduling Flexibility using Optimal Switching

Cites Work

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• A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
• A solution approach to valuation with unhedgeable risks

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