Optimal investment with two-factor uncertainty

DOI10.1007/S11579-013-0101-1zbMath1273.91444OpenAlexW3121463250MaRDI QIDQ367380

Manuel J. Rocha Armada, Artur Rodrigues, Paulo J. Pereira

Publication date: 13 September 2013

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-013-0101-1

zbMATH Keywords

uncertaintyreal optionsmultiple stochastic factors

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Evaluating leases with complex operating options
• On the investment-uncertainty relationship in a real options model
• Investment and the Valuation of Firms When There is an Option to Shut Down
• Uncertainty, Investment, and Industry Evolution

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