Threshold-type policies for real options using regime-switching models

DOI10.1137/110833300zbMATH Open1255.91444OpenAlexW2004701830MaRDI QIDQ4902230FDOQ4902230

Authors: Zhongfeng Yan, Alain Bensoussan, G. Yin 

Publication date: 25 January 2013

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/110833300

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zbMATH Keywords

optimal stopping problemvariational inequalityirreversible investmentreal optionregime shiftmacroeconomic condition

Mathematics Subject Classification ID

Variational inequalities (49J40) Stochastic models in economics (91B70) Financial applications of other theories (91G80) Optimal stochastic control (93E20) Unilateral problems for parabolic systems and systems of variational inequalities with parabolic operators (35K87)

Cited In (16)

• A viscosity solution method for optimal stopping problems with regime switching
• Real option pricing under the regime-switching model with jumps on a finite time horizon
• On an optimal extraction problem with regime switching
• REAL OPTIONS WITH COMPETITION AND REGIME SWITCHING
• A regime switching model of schooling choice as a job search process
• Numerical solutions of regime-switching jump diffusions
• Optimal R\&D investment problem with regime-switching
• A regime-switching model with jumps and its application to bond pricing and insurance
• Optimal regime switching and threshold effects
• Numerical methods for controlled switching diffusions
• Closed-form solution to a real option problem with regime switching
• Razumikhin-type theorems on moment exponential stability of functional differential equations involving two-time-scale Markovian switching
• Constrained optimal stopping under a regime-switching model
• Approximation of a class of non-zero-sum investment and reinsurance games for regime-switching jump-diffusion models
• Stochastic systems arising from Markov modulated empirical measures
• Double obstacle control problem for a quasilinear elliptic variational inequality with source term

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