INVESTMENT TIMING UNDER REGIME SWITCHING
From MaRDI portal
Publication:5193003
DOI10.1142/S0219024909005361zbMath1178.91213MaRDI QIDQ5193003
Hong Miao, Jin Yu, Robert J. Elliott
Publication date: 10 August 2009
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Financial applications of other theories (91G80) Corporate finance (dividends, real options, etc.) (91G50)
Related Items
Closed-form solution to a real option problem with regime switching ⋮ Valuation of R\&D compound option using Markov chain approach ⋮ REAL OPTIONS WITH PRICED REGIME-SWITCHING RISK
Cites Work
- Options with constant underlying elasticity in strikes
- AMERICAN OPTIONS WITH REGIME SWITCHING
- New finite-dimensional filters and smoothers for noisily observed Markov chains
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- PRICING FLOW COMMODITY DERIVATIVES USING FIXED INCOME MARKET TECHNIQUES
- A NOTE ON IRREVERSIBLE INVESTMENT, HEDGING AND OPTIMAL CONSUMPTION PROBLEMS