A Closed-Form Solution for the Exercise Strategy in a Real Options Model with a Jump-Diffusion Process
From MaRDI portal
(Redirected from Publication:4923341)
Recommendations
- Closed-form optimal strategies of continuous-time options with stochastic differential equations
- Exact and approximated option pricing in a stochastic volatility jump-diffusion model
- A closed-form solution to American options under general diffusion processes
- Closed-form solution to a real option problem with regime switching
- A computational scheme for option under jump diffusion processes
- A combined compact difference scheme for option pricing in the exponential jump-diffusion models
- A numerical method for option pricing under jump-diffusion process
- A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
- An efficient numerical method for pricing option under jump diffusion model
- Pricing Options in Jump-Diffusion Models: An Extrapolation Approach
Cited in
(15)- Closed-form optimal strategies of continuous-time options with stochastic differential equations
- Investment timing and capacity choice in duopolistic competition under a jump-diffusion model
- Closed-form solution to a real option problem with regime switching
- Irreversible investment under Lévy uncertainty: an equation for the optimal boundary
- A pricing method for multi-stage causal compound options following a jump-diffusion process
- REAL OPTIONS WITH COMPETITION AND REGIME SWITCHING
- Valuation of N-stage investments under jump-diffusion processes
- Real options problem with nonsmooth obstacle
- The solution to a differential-difference equation arising in optimal stopping of a jump-diffusion process
- Optimal Investment Timing for Carbon Emission Reduction Technology with a Jump-Diffusion Process
- Real options under a double exponential jump-diffusion model with regime switching and partial information
- Real (investment) options with multiple sources of rare events
- Investment strategies of duopoly firms with asymmetric time-to-build under a jump-diffusion model
- Real option pricing under the regime-switching model with jumps on a finite time horizon
- Optimal timing of green technology adoption for climate risk mitigation
This page was built for publication: A Closed-Form Solution for the Exercise Strategy in a Real Options Model with a Jump-Diffusion Process
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4923341)