Valuation of \(N\)-stage investments under jump-diffusion processes
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Publication:429535
DOI10.1007/s10614-011-9273-zzbMath1242.91003OpenAlexW2091460158MaRDI QIDQ429535
Rainer Andergassen, Luigi Sereno
Publication date: 19 June 2012
Published in: Computational Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10614-011-9273-z
Derivative securities (option pricing, hedging, etc.) (91G20) Computational methods for problems pertaining to game theory, economics, and finance (91-08)
Related Items (5)
N-Fold compound option pricing with technical risk under fractional jump-diffusion model ⋮ A geometric Lévy model for \(n\)-fold compound option pricing in a fuzzy framework ⋮ Valuation of R&D Investment Opportunities Using the Least-Squares Monte Carlo Method ⋮ European option based R\&D investment decision making under uncertainties ⋮ A simple method for generalized sequential compound options pricing
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