INVESTMENT TIMING UNDER REGIME SWITCHING

DOI10.1142/S0219024909005361zbMATH Open1178.91213MaRDI QIDQ5193003FDOQ5193003

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)

zbMATH Keywords

regime switchinginvestment timingreal option

Mathematics Subject Classification ID

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 (5)

• Real options with priced regime-switching risk
• TIMING OF LUMPY INVESTMENT, PRICING AND TECHNICAL PROGRESS
• Valuation of R\&D compound option using Markov chain approach
• Closed-form solution to a real option problem with regime switching
• Dynamic investment strategy with factor models under regime switches

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