Real option pricing under the regime-switching model with jumps on a finite time horizon
DOI10.1016/J.CAM.2024.115893zbMATH Open1541.91261MaRDI QIDQ6569140FDOQ6569140
Authors: Sunju Lee, Younhee Lee 
Publication date: 8 July 2024
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
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operator splitting methodreal optionfinite time horizonregime-switching jump-diffusion model2-step backward differentiation formulairreversible investment decision problem
Numerical methods (including Monte Carlo methods) (91G60) Corporate finance (dividends, real options, etc.) (91G50) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)
Cites Work
- Title not available (Why is that?)
- M-matrix characterizations. I: nonsingular M-matrices
- The effect of mean reversion on investment under uncertainty
- Irreversible investment with regime shifts
- Threshold-type policies for real options using regime-switching models
- Operator splitting methods for American option pricing.
- On pricing barrier options with regime switching
- Finite project life and uncertainty effects on investment
- IMEX schemes for pricing options under jump-diffusion models
- Stability of numerical methods under the regime-switching jump-diffusion model with variable coefficients
- Real options under a double exponential jump-diffusion model with regime switching and partial information
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