Closed-form solution to a real option problem with regime switching

DOI10.1016/J.ORL.2020.08.013OpenAlexW3083127626MaRDI QIDQ2661548

Michi Nishihara

Publication date: 7 April 2021

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11094/78922

zbMATH Keywords

regime switchingfinanceilliquidityinvestment timingreal option

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

Cites Work

• Real options in operations research: a review
• Investment timing, debt structure, and financing constraints
• Optimal stopping with random intervention times
• Threshold-Type Policies for Real Options Using Regime-Switching Models
• INVESTMENT TIMING UNDER REGIME SWITCHING

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