Real options with a double continuation region

DOI10.1080/14697688.2010.484024zbMath1278.91178OpenAlexW2034501255MaRDI QIDQ2873019

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

zbMATH Keywords

optimal stoppingasset pricingAmerican optionsfree boundarycapital investment theory

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Corporate finance (dividends, real options, etc.) (91G50)

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Optimal exercise of American put options near maturity: a new economic perspective ⋮ On an irreversible investment problem with two-factor uncertainty ⋮ Double continuation regions for American options under Poisson exercise opportunities ⋮ Perpetual American options with asset-dependent discounting ⋮ Optimal stopping problems for running minima with positive discounting rates ⋮ American step options ⋮ Modelling corporate bank accounts ⋮ Real options maximizing survival probability under incomplete markets ⋮ Portfolio selection with tail nonlinearly transformed risk measures—a comparison with mean-CVaR analysis ⋮ American options and stochastic interest rates

Cites Work

• Unnamed Item
• Optimal stopping for a diffusion with jumps
• Optimal stopping and perpetual options for Lévy processes
• The Valuation of American Options on Multiple Assets
• CHANGE OF NUMÉRAIRE AND AMERICAN OPTIONS
• Changes of numéraire, changes of probability measure and option pricing
• THE VALUE OF FIGHTING IRREVERSIBLE DEMISE BY SOFTENING THE IRREVERSIBLE COST

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