Real options approach for fashionable and perishable products using stock loan with regime switching

DOI10.1007/s10479-015-1887-4zbMath1415.91307MaRDI QIDQ1699173

Shui-Hung Hou, Xun Li, Chun-Hung Chiu, Wei Liu

Publication date: 16 February 2018

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-015-1887-4

zbMATH Keywords

variational inequality; regime switching; real options; risk management; revenue management; stock loan

Mathematics Subject Classification ID

60G40: Stopping times; optimal stopping problems; gambling theory

91G20: Derivative securities (option pricing, hedging, etc.)

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