Real options under a double exponential jump-diffusion model with regime switching and partial information
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Publication:5234331
DOI10.1080/14697688.2017.1328560zbMATH Open1420.91500OpenAlexW3126090715WikidataQ115549917 ScholiaQ115549917MaRDI QIDQ5234331FDOQ5234331
Author name not available (Why is that?)
Publication date: 26 September 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2017.1328560
Cites Work
- A Jump-Diffusion Model for Option Pricing
- Real options and preemption under incomplete information
- Title not available (Why is that?)
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- Irreversible investment with regime shifts
- 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
- Optimal stopping for a diffusion with jumps
- Investment Under Uncertainty with Stochastically Switching Profit Streams: Entry and Exit over the Business Cycle.
Cited In (6)
- Real option duopolies with quasi-hyperbolic discounting
- Real option pricing under the regime-switching model with jumps on a finite time horizon
- 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
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