Real option model of dynamic growth processes with consumption

DOI10.4310/CMS.2015.V13.N8.A11zbMath1328.35246OpenAlexW2731575172MaRDI QIDQ889123

Nengsheng Fang, Xinfeng Ruan, Caixiu Liao

Publication date: 6 November 2015

Published in: Communications in Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4310/cms.2015.v13.n8.a11

zbMATH Keywords

asset pricingrisk premiumjump diffusionreal optionoptimal consumption strategy

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic models in economics (91B70) Generalized stochastic processes (60G20) Consumer behavior, demand theory (91B42) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Integro-partial differential equations (35R09)

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