Optimal investment with two-factor uncertainty

DOI10.1007/S11579-013-0101-1zbMATH Open1273.91444OpenAlexW3121463250MaRDI QIDQ367380FDOQ367380

Authors: Manuel J. Rocha Armada, Paulo J. Pereira, Artur Rodrigues 

Publication date: 13 September 2013

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-013-0101-1

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zbMATH Keywords

uncertaintyreal optionsmultiple stochastic factors

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

Cites Work

• Uncertainty, Investment, and Industry Evolution
• On the investment-uncertainty relationship in a real options model
• Investment and the Valuation of Firms When There is an Option to Shut Down
• Evaluating leases with complex operating options

Cited In (2)

• Optimality Criteria for Investment Projects Under Uncertainty
• OPTIMAL INVESTMENT IN INTERRELATED PROJECTS

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