Real options with a double continuation region

DOI10.1080/14697688.2010.484024MaRDI QIDQ2873019zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

American optionsasset pricingcapital investment theoryfree boundaryoptimal stopping

Mathematics Subject Classification ID

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

Recommendations

• Double continuation regions for American options under Poisson exercise opportunities
• Real options under a double exponential jump-diffusion model with regime switching and partial information
• Real options and contingent convertibles with regime switching
• Real options and variational inequalities
• Real options with priced regime-switching risk
• Double continuation regions for American and Swing options with negative discount rate in Lévy models
• scientific article; zbMATH DE number 1642359
• scientific article; zbMATH DE number 2095962
• A free boundary problem of a real option model
• Real options with constant relative risk aversion

Cites work

• CHANGE OF NUMÉRAIRE AND AMERICAN OPTIONS
• Changes of numéraire, changes of probability measure and option pricing
• scientific article; zbMATH DE number 1255542 (Why is no real title available?)
• Optimal stopping and perpetual options for Lévy processes
• Optimal stopping for a diffusion with jumps
• The Valuation of American Options on Multiple Assets
• THE VALUE OF FIGHTING IRREVERSIBLE DEMISE BY SOFTENING THE IRREVERSIBLE COST

Cited in

(14)

• Modelling corporate bank accounts
• American options and stochastic interest rates
• Optimal exercise of American put options near maturity: a new economic perspective
• Optimal stopping problems for running minima with positive discounting rates
• American step options
• scientific article; zbMATH DE number 1642359 (Why is no real title available?)
• Portfolio selection with tail nonlinearly transformed risk measures -- a comparison with mean-CVaR analysis
• On an irreversible investment problem with two-factor uncertainty
• Double continuation regions for American and Swing options with negative discount rate in Lévy models
• Real options maximizing survival probability under incomplete markets
• Double continuation regions for American options under Poisson exercise opportunities
• Perpetual American options with asset-dependent discounting
• FX Open Forward
• Pricing American real options with double continuation region under Heston model

This page was built for publication: Real options with a double continuation region

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2873019)