Real Options and American Derivatives: the Double Continuation Region
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- Anna Battauz & Marzia De Donno & Alessandro Sbuelz, 2015. "Real Options and American Derivatives: The Double Continuation Region," Management Science, INFORMS, vol. 61(5), pages 1094-1107, May.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Jérôme Detemple, 2014. "Optimal Exercise for Derivative Securities," Annual Review of Financial Economics, Annual Reviews, vol. 6(1), pages 459-487, December.
- Antonio Cosma & Stefano Galluccio & Paola Pederzoli & Olivier Scaillet, 2016.
"Early exercise decision in American options with dividends, stochastic volatility and jumps,"
- Antonio Cosma & Stefano Galluccio & Paola Pederzoli & O. Scaillet, 2016. "Early Exercise Decision in American Options with Dividends, Stochastic Volatility and Jumps," Swiss Finance Institute Research Paper Series 16-73, Swiss Finance Institute.
- Marzia De Donno & Zbigniew Palmowski & Joanna Tumilewicz, 2017. "Double continuation regions for American and Swing options with negative discount rate in L\'evy models," Papers 1801.00266, arXiv.org.
- Delaney, L., 2016. "Equilibrium Investment in High Frequency Trading Technology: A Real Options Approach," Working Papers 15/14, Department of Economics, City University London.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-10-18 (All new papers)
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