Real option pricing under the regime-switching model with jumps on a finite time horizon

DOI10.1016/J.CAM.2024.115893MaRDI QIDQ6569140zbMATH OpenFDO

Authors Sunju Lee, Younhee Lee

Publication date 8 July 2024

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

operator splitting methodreal optionfinite time horizonregime-switching jump-diffusion model2-step backward differentiation formulairreversible investment decision problem

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 722978 (Why is no real title available?)
• Finite project life and uncertainty effects on investment
• IMEX schemes for pricing options under jump-diffusion models
• Irreversible investment with regime shifts
• M-matrix characterizations. I: nonsingular M-matrices
• On pricing barrier options with regime switching
• Operator splitting methods for American option pricing.
• Real options under a double exponential jump-diffusion model with regime switching and partial information
• Stability of numerical methods under the regime-switching jump-diffusion model with variable coefficients
• The effect of mean reversion on investment under uncertainty
• Threshold-type policies for real options using regime-switching models

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