Real options under a double exponential jump-diffusion model with regime switching and partial information
From MaRDI portal
Publication:5234331
Recommendations
- Consumption utility-based pricing and timing of the option to invest with partial information
- INVESTMENT TIMING UNDER REGIME SWITCHING
- Heterogeneous information arrival and R\& D option pricing.
- A Closed-Form Solution for the Exercise Strategy in a Real Options Model with a Jump-Diffusion Process
- Real options with priced regime-switching risk
Cites work
- scientific article; zbMATH DE number 3567644 (Why is no real title available?)
- A jump-diffusion model for option pricing
- CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK
- Closed-Form Solutions for Perpetual American Put Options with Regime Switching
- Comment on “Investment Timing Under Incomplete Information”
- Consumption utility-based pricing and timing of the option to invest with partial information
- Investment Timing Under Incomplete Information
- Investment Under Uncertainty with Stochastically Switching Profit Streams: Entry and Exit over the Business Cycle.
- Irreversible investment with regime shifts
- Optimal portfolio choice for unobservable and regime-switching mean returns
- Optimal stopping for a diffusion with jumps
- Real options and preemption under incomplete information
Cited in
(9)- Real options with priced regime-switching risk
- Real option duopolies with quasi-hyperbolic discounting
- Real option pricing under the regime-switching model with jumps on a finite time horizon
- Consumption utility-based pricing and timing of the option to invest with partial information
- Valuation of N-stage investments under jump-diffusion processes
- Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market
- Real (investment) options with multiple sources of rare events
- Real options with a double continuation region
- On an irreversible investment problem with two-factor uncertainty
This page was built for publication: Real options under a double exponential jump-diffusion model with regime switching and partial information
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5234331)
