Real options with a double continuation region
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Publication:2873019
DOI10.1080/14697688.2010.484024zbMATH Open1278.91178OpenAlexW2034501255MaRDI QIDQ2873019FDOQ2873019
Authors: Anna Battauz, Marzia De Donno, Alessandro Sbuelz 
Publication date: 17 January 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2010.484024
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Derivative securities (option pricing, hedging, etc.) (91G20) Corporate finance (dividends, real options, etc.) (91G50)
Cites Work
- The Valuation of American Options on Multiple Assets
- Changes of numéraire, changes of probability measure and option pricing
- Title not available (Why is that?)
- Optimal stopping and perpetual options for Lévy processes
- Optimal stopping for a diffusion with jumps
- CHANGE OF NUMÉRAIRE AND AMERICAN OPTIONS
- THE VALUE OF FIGHTING IRREVERSIBLE DEMISE BY SOFTENING THE IRREVERSIBLE COST
Cited In (13)
- Perpetual American options with asset-dependent discounting
- Modelling corporate bank accounts
- Real options maximizing survival probability under incomplete markets
- Optimal stopping problems for running minima with positive discounting rates
- Double continuation regions for American and Swing options with negative discount rate in Lévy models
- Portfolio selection with tail nonlinearly transformed risk measures—a comparison with mean-CVaR analysis
- Optimal exercise of American put options near maturity: a new economic perspective
- Title not available (Why is that?)
- American options and stochastic interest rates
- Double continuation regions for American options under Poisson exercise opportunities
- FX Open Forward
- On an irreversible investment problem with two-factor uncertainty
- American step options
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