Real options with priced regime-switching risk

DOI10.1142/S0219024913500283MaRDI QIDQ2853377zbMATH OpenOpenAlexFDO

Authors John Driffill, Turalay Kenc, Martin Sola

Publication date 21 October 2013

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024913500283

zbMATH Keywords

real optionsregime-dependent risk premiaregime-switching risk premia

Mathematics Subject Classification ID

Applications of continuous-time Markov processes on discrete state spaces (60J28) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Corporate finance (dividends, real options, etc.) (91G50)

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Cites work

• A GENERAL EQUILIBRIUM MODEL OF THE TERM STRUCTURE OF INTEREST RATES UNDER REGIME-SWITCHING RISK
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• AMERICAN OPTIONS WITH REGIME SWITCHING
• An explicit solution to an optimal stopping problem with regime switching
• Bond pricing in a hidden Markov model of the short rate
• scientific article; zbMATH DE number 722978 (Why is no real title available?)
• INVESTMENT TIMING UNDER REGIME SWITCHING
• Irreversible investment with regime shifts
• Modeling of the Defaultable Term Structure: Conditionally Markov Approach
• On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
• Option pricing and Esscher transform under regime switching
• Option pricing when the regime-switching risk is priced
• Option pricing when underlying stock returns are discontinuous
• The term structure of interest rates under regime shifts and jumps

Cited in

(16)

• Real options approach for fashionable and perishable products using stock loan with regime switching
• Optimal dividend distribution under Markov regime switching
• To expand and to abandon: real options under asset variance risk premium
• Model risk in real option valuation
• Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation
• scientific article; zbMATH DE number 1642359 (Why is no real title available?)
• Real options with a double continuation region
• Real options: a framework of optimal switching
• REAL OPTIONS WITH COMPETITION AND REGIME SWITCHING
• Equity with Markov-modulated dividends
• Real Options and Risk Dynamics
• A generalized Esscher transform for option valuation with regime switching risk
• Real options under a double exponential jump-diffusion model with regime switching and partial information
• The worst case for real options
• European option pricing with market frictions, regime switches and model uncertainty
• Real option pricing under the regime-switching model with jumps on a finite time horizon

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