INVESTMENT TIMING UNDER REGIME SWITCHING

DOI10.1142/S0219024909005361MaRDI QIDQ5193003zbMATH OpenFDO

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)

zbMATH Keywords

regime switchinginvestment timingreal option

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50) Financial applications of other theories (91G80)

Recommendations

• Regime uncertainty and optimal investment timing
• Investment Timing Under Incomplete Information
• Irreversible investment with regime shifts
• An optimal stopping model and waiting time of problems of investment timing
• OPTIMAL TIME TO INVEST UNDER UNCERTAINTY WITH A SCALE CHANGE

Cites work

• A NOTE ON IRREVERSIBLE INVESTMENT, HEDGING AND OPTIMAL CONSUMPTION PROBLEMS
• 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

Cited in

(20)

• An optimal stopping model and waiting time of problems of investment timing
• Investment timing with incomplete information and multiple means of learning
• Project investment timing analysis when the return flow is discontinuous
• Real options with priced regime-switching risk
• TIMING OF LUMPY INVESTMENT, PRICING AND TECHNICAL PROGRESS
• Closed-form solution to a real option problem with regime switching
• OPTIMAL TIMING FOR INVESTMENT DECISIONS
• OPTIMAL TIME TO INVEST UNDER UNCERTAINTY WITH A SCALE CHANGE
• Optimal R\&D investment problem with regime-switching
• Investment Timing Under Incomplete Information
• An algorithm for construction of optimal timing solutions in problems with a stochastic payoff function
• Optimal investment decision under switching regimes of subsidy support
• Threshold-type policies for real options using regime-switching models
• Real options under a double exponential jump-diffusion model with regime switching and partial information
• Privatization of businesses and flexible investment: a real option approach
• Valuation of R\&D compound option using Markov chain approach
• Investment timing under hybrid stochastic and local volatility
• Costly switching and investment volatility
• Regime uncertainty and optimal investment timing
• Dynamic investment strategy with factor models under regime switches

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