Smooth pasting as rate of return equalization

DOI10.1016/J.ECONLET.2005.05.028zbMATH Open1254.91727OpenAlexW3123140087MaRDI QIDQ1928693FDOQ1928693

Authors: Mark B. Shackleton, Sigbjørn Sødal 

Publication date: 3 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://eprints.lancs.ac.uk/id/eprint/48784/1/Document.pdf

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zbMATH Keywords

real optionsmooth pastingrates of returnoption elasticity

Mathematics Subject Classification ID

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

Cites Work

• The pricing of options and corporate liabilities
• Title not available (Why is that?)
• Super contact and related optimality conditions
• Title not available (Why is that?)
• A simplified exposition of smooth pasting

Cited In (7)

• Optimal capital accumulation under price uncertainty and costly reversibility
• Harvesting and recovery decisions under uncertainty
• Hysteresis effects under CIR interest rates
• Prepayment risk on callable bonds: theory and test
• The effect of uncertainty on investment timing in a real options model
• Volatility and dividend risk in perpetual American options
• Leverage, uncertainty and investment decisions

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