Valuation of \(N\)-stage investments under jump-diffusion processes

DOI10.1007/s10614-011-9273-zzbMath1242.91003MaRDI QIDQ429535

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

zbMATH Keywords

jump-diffusion process; \(N\)-fold compound options; sequential investments

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)

91-08: Computational methods for problems pertaining to game theory, economics, and finance

Related Items

Valuation of R&D Investment Opportunities Using the Least-Squares Monte Carlo Method, 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, A simple method for generalized sequential compound options pricing

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