REAL OPTIONS WITH COMPETITION AND REGIME SWITCHING
From MaRDI portal
Publication:2968279
DOI10.1111/mafi.12085zbMath1414.91403OpenAlexW1893729019MaRDI QIDQ2968279
George Yin, SingRu (Celine) Hoe, Zhongfeng Yan, Alain Bensoussan
Publication date: 13 March 2017
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/mafi.12085
game theoryvariational inequalityregime switchingoptimal stopping problemirreversible investmentreal option
Hierarchical games (including Stackelberg games) (91A65) Variational inequalities (49J40) Stopping times; optimal stopping problems; gambling theory (60G40) Corporate finance (dividends, real options, etc.) (91G50)
Related Items (7)
A survey of numerical solutions for stochastic control problems: some recent progress ⋮ Investment flexibility as a barrier to entry ⋮ A stochastic maximum principle for switching diffusions using conditional mean-fields with applications to control problems ⋮ Numerical Methods for Controlled Switching Diffusions ⋮ Stochastic impulse control with regime-switching dynamics ⋮ Investment decisions under incomplete markets in the presence of wealth effects ⋮ Approximation of a class of non-zero-sum investment and reinsurance games for regime-switching jump-diffusion models
Cites Work
- Unnamed Item
- Developing real option game models
- On pricing and hedging options in regime-switching models with feedback effect
- Real options in strategic investment games between two asymmetric firms
- Real options and preemption under incomplete information
- Stochastic calculus for finance. I: The binomial asset pricing model.
- OPTIMAL CONSUMPTION AND INVESTMENT FOR A LARGE INVESTOR: AN INTENSITY-BASED CONTROL FRAMEWORK
- Real Options Games in Complete and Incomplete Markets with Several Decision Makers
- EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING
- Strategic Delay in a Real Options Model of R&D Competition
- Threshold-Type Policies for Real Options Using Regime-Switching Models
- A Closed-Form Solution for the Exercise Strategy in a Real Options Model with a Jump-Diffusion Process
- On Threshold Strategies and the Smooth-Fit Principle for Optimal Stopping Problems
- OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
- CHARACTERIZATION OF OPTIMAL STOPPING REGIONS OF AMERICAN ASIAN AND LOOKBACK OPTIONS
This page was built for publication: REAL OPTIONS WITH COMPETITION AND REGIME SWITCHING
