REAL OPTIONS WITH PRICED REGIME-SWITCHING RISK

DOI10.1142/S0219024913500283zbMath1280.91186MaRDI QIDQ2853377

Turalay Kenc, John Driffill, 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 options; regime-dependent risk premia; regime-switching risk premia

Mathematics Subject Classification ID

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)

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

60J28: Applications of continuous-time Markov processes on discrete state spaces

Related Items

A generalized Esscher transform for option valuation with regime switching risk, European option pricing with market frictions, regime switches and model uncertainty, Optimal dividend distribution under Markov regime switching, Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation, Equity with Markov-modulated dividends

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