Valuation of N-stage investments under jump-diffusion processes

DOI10.1007/S10614-011-9273-ZzbMATH Open1242.91003OpenAlexW2091460158MaRDI QIDQ429535FDOQ429535

Authors: Rainer Andergassen, Luigi Sereno 

Publication date: 19 June 2012

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10614-011-9273-z

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zbMATH Keywords

jump-diffusion process\(N\)-fold compound optionssequential investments

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Computational methods for problems pertaining to game theory, economics, and finance (91-08)

Cites Work

• The pricing of options and corporate liabilities
• Martingales and arbitrage in multiperiod securities markets
• The option value of advanced R\&D
• Evaluating pharmaceutical R\&D under technical and economic uncertainty
• Title not available (Why is that?)
• Option pricing when underlying stock returns are discontinuous
• Changes of numéraire, changes of probability measure and option pricing
• The generalized sequential compound options pricing and sensitivity analysis
• The compound option approach to American options on jump-diffusions
• Numerical analysis on binomial tree methods for a jump-diffusion model.
• Real (investment) options with multiple sources of rare events
• Valuation of R\&D sequential exchange options using Monte Carlo approach
• Optimal stopping and perpetual options for Lévy processes
• Valuing modularity as a real option
• Some applications of a closed-form solution for compound options of order \(N\)
• The quintessential option pricing formula under Lévy processes

Cited In (10)

• Asymptotic Investment Behaviors under a Jump-Diffusion Risk Process
• N-Fold compound option pricing with technical risk under fractional jump-diffusion model
• A geometric Lévy model for \(n\)-fold compound option pricing in a fuzzy framework
• European option based R\&D investment decision making under uncertainties
• The numeraire portfolio in financial markets modeled by a multi-dimensional jump diffusion process
• Real (investment) options with multiple sources of rare events
• Staged venture capital investment considering unexpected major events
• A simple method for generalized sequential compound options pricing
• 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

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