Smooth pasting as rate of return equalization

DOI10.1016/J.ECONLET.2005.05.028zbMath1254.91727OpenAlexW3123140087MaRDI QIDQ1928693

Mark B. Shackleton, Sigbjørn Sødal

Publication date: 3 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://eprints.lancs.ac.uk/id/eprint/48784/1/Document.pdf

zbMATH Keywords

real optionsmooth pastingrates of returnoption elasticity

Mathematics Subject Classification ID

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

Related Items (7)

Harvesting and recovery decisions under uncertainty ⋮ Leverage, uncertainty and investment decisions ⋮ Prepayment risk on callable bonds: theory and test ⋮ Hysteresis effects under CIR interest rates ⋮ Optimal capital accumulation under price uncertainty and costly reversibility ⋮ The effect of uncertainty on investment timing in a real options model ⋮ Volatility and dividend risk in perpetual American options

Cites Work

• The Pricing of Options and Corporate Liabilities
• A simplified exposition of smooth pasting
• Super contact and related optimality conditions
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