A generalized complementarity approach to solving real option problems

DOI10.1016/J.JEDC.2007.04.010MaRDI QIDQ844678zbMATH OpenOpenAlexWikidataFDO

Authors Takeshi Nagae, Takashi Akamatsu

Publication date 19 January 2010

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2007.04.010

zbMATH Keywords

real optionsgeneralized complementarity problemsmoothing function-based algorithm

Mathematics Subject Classification ID

Dynamical systems in optimization and economics (37N40) Corporate finance (dividends, real options, etc.) (91G50) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)

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Cites work

• scientific article; zbMATH DE number 3748284 (Why is no real title available?)
• scientific article; zbMATH DE number 1306981 (Why is no real title available?)
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• A generalization of the linear complementarity problem
• A network of options: evaluating complex interdependent decisions under uncertainty
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• Engineering and Economic Applications of Complementarity Problems
• Error estimates for the binomial approximation of American put options
• Investment and the Valuation of Firms When There is an Option to Shut Down
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• On the theory of option pricing
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• The pricing of the American option
• The valuation of American options for a class of diffusion processes
• Time-to-build and capacity choice
• Variational inequalities and the pricing of American options

Cited in

(16)

• Structural estimation of real options models
• Finite project life and uncertainty effects on investment
• The effect of mean reversion on entry and exit decisions under uncertainty
• A modulus-based matrix splitting method for the vertical nonlinear complementarity problem
• Optimal decision policy for real options under general Markovian dynamics
• Optimal oil production and the world supply of oil
• Relaxation modulus-based matrix splitting iteration method for vertical linear complementarity problem
• Scalable relaxation two-sweep modulus-based matrix splitting methods for vertical LCP
• A network of options: evaluating complex interdependent decisions under uncertainty
• A new matrix splitting generalized iteration method for linear complementarity problems
• Generalized modulus-based matrix splitting algorithm with Anderson acceleration strategy for vertical linear complementarity problems
• Convergence analysis of projected SOR iteration method for a class of vertical linear complementarity problems
• Projected splitting methods for vertical linear complementarity problems
• A modulus-based formulation for the vertical linear complementarity problem
• General convergence results of the modulus-based methods for vertical nonlinear complementarity problems
• Real options and variational inequalities

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