Real option pricing under the regime-switching model with jumps on a finite time horizon

DOI10.1016/j.cam.2024.115893zbMath1541.91261MaRDI QIDQ6569140

Sunju Lee, Younhee Lee

Publication date: 8 July 2024

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

operator splitting methodreal optionfinite time horizonregime-switching jump-diffusion model2-step backward differentiation formulairreversible investment decision problem

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Corporate finance (dividends, real options, etc.) (91G50)

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