Valuation of N-stage investments under jump-diffusion processes
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Valuation of \(N\)-stage investments under jump-diffusion processes
Valuation of \(N\)-stage investments under jump-diffusion processes
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Cites work
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- Changes of numéraire, changes of probability measure and option pricing
- Evaluating pharmaceutical R\&D under technical and economic uncertainty
- Martingales and arbitrage in multiperiod securities markets
- Numerical analysis on binomial tree methods for a jump-diffusion model.
- Optimal stopping and perpetual options for Lévy processes
- Option pricing when underlying stock returns are discontinuous
- Real (investment) options with multiple sources of rare events
- Some applications of a closed-form solution for compound options of order \(N\)
- The compound option approach to American options on jump-diffusions
- The generalized sequential compound options pricing and sensitivity analysis
- The option value of advanced R\&D
- The pricing of options and corporate liabilities
- The quintessential option pricing formula under Lévy processes
- Valuation of R\&D sequential exchange options using Monte Carlo approach
- Valuing modularity as a real option
Cited in
(10)- N-Fold compound option pricing with technical risk under fractional jump-diffusion model
- Real (investment) options with multiple sources of rare events
- Staged venture capital investment considering unexpected major events
- A pricing method for multi-stage causal compound options following a jump-diffusion process
- Valuation of R\&D investment opportunities using the least-squares Monte Carlo method
- The numeraire portfolio in financial markets modeled by a multi-dimensional jump diffusion process
- Asymptotic Investment Behaviors under a Jump-Diffusion Risk Process
- A geometric Lévy model for \(n\)-fold compound option pricing in a fuzzy framework
- European option based R\&D investment decision making under uncertainties
- A simple method for generalized sequential compound options pricing
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