Real options with a double continuation region
From MaRDI portal
Publication:2873019
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
Derivative securities (option pricing, hedging, etc.) (91G20) Corporate finance (dividends, real options, etc.) (91G50)
Related Items
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
This page was built for publication: Real options with a double continuation region