A Closed-Form Solution for the Exercise Strategy in a Real Options Model with a Jump-Diffusion Process

DOI10.1137/11082871XzbMath1268.91168OpenAlexW1971598554MaRDI QIDQ4923341

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Publication date: 6 June 2013

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

Full work available at URL: https://doi.org/10.1137/11082871x

zbMATH Keywords

analytical solutionfree boundary problemreal optionsjump-diffusion model

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Derivative securities (option pricing, hedging, etc.) (91G20)

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