Real options and contingent convertibles with regime switching

DOI10.1016/j.jedc.2016.12.002zbMath1401.91536OpenAlexW3123577761MaRDI QIDQ1655555

Pengfei Luo, Zhaojun Yang

Publication date: 9 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2016.12.002

zbMATH Keywords

regime switchingreal optionsagency costscapital structurecontingent convertibles

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

A spectral element method for option pricing under regime-switching with jumps ⋮ The timing of debt renegotiation and its implications for irreversible investment and capital structure ⋮ Structural pricing of CoCos and deposit insurance with regime switching and jumps

Cites Work

• Irreversible investment with regime shifts

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