Real options with priced regime-switching risk
DOI10.1142/S0219024913500283zbMATH Open1280.91186OpenAlexW2165072345MaRDI QIDQ2853377FDOQ2853377
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
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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)
Cites Work
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Cited In (15)
- The worst case for real options
- European option pricing with market frictions, regime switches and model uncertainty
- REAL OPTIONS WITH COMPETITION AND REGIME SWITCHING
- Real Options and Risk Dynamics
- Model risk in real option valuation
- Real options under a double exponential jump-diffusion model with regime switching and partial information
- Equity with Markov-modulated dividends
- Title not available (Why is that?)
- Real options: a framework of optimal switching
- Optimal dividend distribution under Markov regime switching
- Real options with a double continuation region
- A generalized Esscher transform for option valuation with regime switching risk
- Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation
- Real options approach for fashionable and perishable products using stock loan with regime switching
- To expand and to abandon: real options under asset variance risk premium
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