Model-free analysis of real option exercise probability and timing

DOI10.1080/14697688.2023.2243995zbMath1530.91600OpenAlexW4385951277MaRDI QIDQ6063327

Sang Baum Kang, P. Létourneau

Publication date: 7 November 2023

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2023.2243995

zbMATH Keywords

real optionsstochastic dominancecapital investmentfinancial optionsexercise probability

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Corporate finance (dividends, real options, etc.) (91G50)

Cites Work

• Investment under uncertainty and policy change
• Quantile-preserving spread
• Martingales and stochastic integrals in the theory of continuous trading
• Optimal risk adoption: a real options approach
• An analysis of a least squares regression method for American option pricing
• On the investment-uncertainty relationship in a real options model
• Model risk in real option valuation
• Investment and the Valuation of Firms When There is an Option to Shut Down
• Option pricing when underlying stock returns are discontinuous

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