INVESTMENT TIMING UNDER REGIME SWITCHING
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Publication:5193003
DOI10.1142/S0219024909005361zbMATH Open1178.91213MaRDI QIDQ5193003FDOQ5193003
Authors: Robert J. Elliott, Hong Miao, Jin Yu 
Publication date: 10 August 2009
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Recommendations
Corporate finance (dividends, real options, etc.) (91G50) Financial applications of other theories (91G80)
Cites Work
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- AMERICAN OPTIONS WITH REGIME SWITCHING
- New finite-dimensional filters and smoothers for noisily observed Markov chains
- Options with constant underlying elasticity in strikes
- PRICING FLOW COMMODITY DERIVATIVES USING FIXED INCOME MARKET TECHNIQUES
- A NOTE ON IRREVERSIBLE INVESTMENT, HEDGING AND OPTIMAL CONSUMPTION PROBLEMS
Cited In (20)
- Real options with priced regime-switching risk
- An algorithm for construction of optimal timing solutions in problems with a stochastic payoff function
- Project investment timing analysis when the return flow is discontinuous
- TIMING OF LUMPY INVESTMENT, PRICING AND TECHNICAL PROGRESS
- Real options under a double exponential jump-diffusion model with regime switching and partial information
- Valuation of R\&D compound option using Markov chain approach
- Investment Timing Under Incomplete Information
- Investment timing with incomplete information and multiple means of learning
- Optimal R\&D investment problem with regime-switching
- Optimal investment decision under switching regimes of subsidy support
- An optimal stopping model and waiting time of problems of investment timing
- Costly switching and investment volatility
- Threshold-type policies for real options using regime-switching models
- Closed-form solution to a real option problem with regime switching
- Investment timing under hybrid stochastic and local volatility
- Privatization of businesses and flexible investment: a real option approach
- Regime uncertainty and optimal investment timing
- Dynamic investment strategy with factor models under regime switches
- OPTIMAL TIMING FOR INVESTMENT DECISIONS
- OPTIMAL TIME TO INVEST UNDER UNCERTAINTY WITH A SCALE CHANGE
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