Real options under a double exponential jump-diffusion model with regime switching and partial information

DOI10.1080/14697688.2017.1328560zbMath1420.91500OpenAlexW3126090715WikidataQ115549917 ScholiaQ115549917MaRDI QIDQ5234331

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Publication date: 26 September 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2017.1328560

zbMATH Keywords

real optionspartial informationinformation valuedouble exponential jump-diffusion process

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50)

Related Items (3)

On an irreversible investment problem with two-factor uncertainty ⋮ Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market ⋮ Real option duopolies with quasi-hyperbolic discounting

Cites Work

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• Optimal stopping for a diffusion with jumps
• Irreversible investment with regime shifts
• Real options and preemption under incomplete information
• Comment on “Investment Timing Under Incomplete Information”
• Investment Under Uncertainty with Stochastically Switching Profit Streams: Entry and Exit over the Business Cycle.
• CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK
• Closed-Form Solutions for Perpetual American Put Options with Regime Switching
• Investment Timing Under Incomplete Information

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