RETRACTED ARTICLE: A generalized real option pricing method of R&D investments: jump diffusion and external competition

DOI10.1080/10236198.2019.1661394zbMath1451.91194OpenAlexW2971391187MaRDI QIDQ5205906

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Publication date: 17 December 2019

Published in: Journal of Difference Equations and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10236198.2019.1661394

zbMATH Keywords

real optionsjump diffusion modelR\&D investmentsexternal competition

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity
• Investment and the Valuation of Firms When There is an Option to Shut Down
• EQUILIBRIUM PRICE OF VARIANCE SWAPS UNDER STOCHASTIC VOLATILITY WITH LÉVY JUMPS AND STOCHASTIC INTEREST RATE
• Option pricing when underlying stock returns are discontinuous

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