A discrete time approach for modeling two-factor mean-reverting stochastic processes

DOI10.1287/DECA.1110.0209MaRDI QIDQ4691941zbMATH OpenOpenAlexFDO

Authors Warren J. Hahn, James S. Dyer

Publication date 24 October 2018

Published in Decision Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/deca.1110.0209

zbMATH Keywords

discrete modelsdynamic programmingstochastic processesvaluation

Mathematics Subject Classification ID

Generalized stochastic processes (60G20) Dynamic programming (90C39) Corporate finance (dividends, real options, etc.) (91G50)

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Cites work

• A Framework Using Two-Factor Price Lattices for Generation Asset Valuation
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• American options under stochastic volatility
• Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models
• Discrete time modeling of mean-reverting stochastic processes for real option valuation
• Generalized Cox-Ross-Rubinstein binomial models
• scientific article; zbMATH DE number 3664138 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Option pricing: A simplified approach
• Solving higher-dimensional continuous-time stochastic control problems by value function regression
• The pricing of options and corporate liabilities
• Valuation of Commodity-Based Swing Options
• Valuing American options by simulation: a simple least-squares approach
• Valuing Bermudan options when asset returns are Lévy processes
• Valuing Risky Projects: Option Pricing Theory and Decision Analysis

Cited in

(3)

• Comparison of least squares Monte Carlo methods with applications to energy real options
• Discrete time modeling of mean-reverting stochastic processes for real option valuation
• Discrete time mean-variance analysis with singular second moment matrices and an exogenous liability

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