Threshold-Type Policies for Real Options Using Regime-Switching Models

DOI10.1137/110833300zbMath1255.91444OpenAlexW2004701830MaRDI QIDQ4902230

Zhongfeng Yan, G. George Yin, Alain Bensoussan

Publication date: 25 January 2013

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/110833300

zbMATH Keywords

variational inequalityoptimal stopping problemirreversible investmentreal optionregime shiftmacroeconomic condition

Mathematics Subject Classification ID

Variational inequalities (49J40) Stochastic models in economics (91B70) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Unilateral problems for parabolic systems and systems of variational inequalities with parabolic operators (35K87)

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