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Valuing switching options with the moving-boundary method

Author

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  • Dabadghao, Shaunak S.
  • Chockalingam, Arun
  • Soltani, Taimaz
  • Fransoo, Jan C.

    (Tilburg University, School of Economics and Management)

Abstract

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Suggested Citation

  • Dabadghao, Shaunak S. & Chockalingam, Arun & Soltani, Taimaz & Fransoo, Jan C., 2021. "Valuing switching options with the moving-boundary method," Other publications TiSEM 45fe7e78-129f-4d41-ac2f-5, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:45fe7e78-129f-4d41-ac2f-594a7a66789e
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    References listed on IDEAS

    as
    1. Rene Carmona & Michael Ludkovski, 2008. "Pricing Asset Scheduling Flexibility using Optimal Switching," Applied Mathematical Finance, Taylor & Francis Journals, vol. 15(5-6), pages 405-447.
    2. Haolin Feng & Kumar Muthuraman, 2010. "A Computational Method for Stochastic Impulse Control Problems," Mathematics of Operations Research, INFORMS, vol. 35(4), pages 830-850, November.
    3. Dixit, Avinash K, 1989. "Entry and Exit Decisions under Uncertainty," Journal of Political Economy, University of Chicago Press, vol. 97(3), pages 620-638, June.
    4. Muthuraman, Kumar, 2008. "A moving boundary approach to American option pricing," Journal of Economic Dynamics and Control, Elsevier, vol. 32(11), pages 3520-3537, November.
    5. Sunil Kumar & Kumar Muthuraman, 2004. "A Numerical Method for Solving Singular Stochastic Control Problems," Operations Research, INFORMS, vol. 52(4), pages 563-582, August.
    6. Shi-Jie Deng & Zhendong Xia, 2006. "A Real Options Approach For Pricing Electricity Tolling Agreements," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 5(03), pages 421-436.
    7. Arun Chockalingam & Kumar Muthuraman, 2011. "American Options Under Stochastic Volatility," Operations Research, INFORMS, vol. 59(4), pages 793-809, August.
    8. Alexander Yushkevich, 2001. "Optimal switching problem for countable Markov chains: average reward criterion," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 53(1), pages 1-24, April.
    9. Rene Carmona & Michael Ludkovski, 2010. "Valuation of energy storage: an optimal switching approach," Quantitative Finance, Taylor & Francis Journals, vol. 10(4), pages 359-374.
    10. George M. Constantinides & Scott F. Richard, 1978. "Existence of Optimal Simple Policies for Discounted-Cost Inventory and Cash Management in Continuous Time," Operations Research, INFORMS, vol. 26(4), pages 620-636, August.
    11. Brennan, Michael J & Schwartz, Eduardo S, 1985. "Evaluating Natural Resource Investments," The Journal of Business, University of Chicago Press, vol. 58(2), pages 135-157, April.
    12. Alain Bensoussan & Benoît Chevalier-Roignant, 2019. "Sequential Capacity Expansion Options," Operations Research, INFORMS, vol. 67(1), pages 33-57, January.
    13. Agnès Sulem, 1986. "A Solvable One-Dimensional Model of a Diffusion Inventory System," Mathematics of Operations Research, INFORMS, vol. 11(1), pages 125-133, February.
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