Multi-stage real option evaluation with double barrier under stochastic volatility and interest rate

DOI10.1007/s10436-021-00403-6zbMath1492.91412OpenAlexW4205926318MaRDI QIDQ2672922

Antonio Di Bari, Michele Bufalo, Giovanni Villani

Publication date: 13 June 2022

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-021-00403-6

zbMATH Keywords

compound real options approachdown-and-out barrier optionwind farm projects

Mathematics Subject Classification ID

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

Related Items (1)

Analysis of fair fee in guaranteed lifelong withdrawal and Markovian health benefits

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