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

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Real option pricing under the regime-switching model with jumps on a finite time horizon (Q6569140)

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scientific article; zbMATH DE number 7878262
Language Label Description Also known as
English
Real option pricing under the regime-switching model with jumps on a finite time horizon
scientific article; zbMATH DE number 7878262

    Statements

    title
    Real option pricing under the regime-switching model with jumps on a finite time horizon (English)
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    author
    Sunju Lee
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    Younhee Lee
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    publication date
    8 July 2024
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    zbMATH Keywords
    irreversible investment decision problem
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    finite time horizon
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    real option
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    regime-switching jump-diffusion model
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    2-step backward differentiation formula
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    operator splitting method
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    Identifiers

    Mathematics Subject Classification ID
    91G50
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    91G60
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    65M06
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    zbMATH DE Number
    7878262
    0 references
     
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