INVESTMENT TIMING UNDER REGIME SWITCHING

DOI10.1142/S0219024909005361MaRDI QIDQ5193003zbMATH OpenFDO

Authors Robert J. Elliott, Hong Miao, Jin Yu

Publication date 10 August 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/S0219024909005361

zbMATH Keywords

investment timingreal optionregime switching

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50) Financial applications of other theories (91G80)

Recommendations

• Regime uncertainty and optimal investment timing
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• OPTIMAL TIME TO INVEST UNDER UNCERTAINTY WITH A SCALE CHANGE

Cites work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A NOTE ON IRREVERSIBLE INVESTMENT, HEDGING AND OPTIMAL CONSUMPTION PROBLEMS
• AMERICAN OPTIONS WITH REGIME SWITCHING
• New finite-dimensional filters and smoothers for noisily observed Markov chains
• Options with constant underlying elasticity in strikes
• PRICING FLOW COMMODITY DERIVATIVES USING FIXED INCOME MARKET TECHNIQUES

Cited in

(20)

• Regime uncertainty and optimal investment timing
• Costly switching and investment volatility
• Privatization of businesses and flexible investment: a real option approach
• Dynamic investment strategy with factor models under regime switches
• Optimal investment decision under switching regimes of subsidy support
• Valuation of R\&D compound option using Markov chain approach
• An algorithm for construction of optimal timing solutions in problems with a stochastic payoff function
• Closed-form solution to a real option problem with regime switching
• Real options with priced regime-switching risk
• An optimal stopping model and waiting time of problems of investment timing
• Investment timing under hybrid stochastic and local volatility
• Investment timing with incomplete information and multiple means of learning
• TIMING OF LUMPY INVESTMENT, PRICING AND TECHNICAL PROGRESS
• Project investment timing analysis when the return flow is discontinuous
• Threshold-type policies for real options using regime-switching models
• Real options under a double exponential jump-diffusion model with regime switching and partial information
• OPTIMAL TIMING FOR INVESTMENT DECISIONS
• OPTIMAL TIME TO INVEST UNDER UNCERTAINTY WITH A SCALE CHANGE
• Investment Timing Under Incomplete Information
• Optimal R\&D investment problem with regime-switching

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