Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk
Year of publication: |
2008
|
---|---|
Authors: | Ewald, Christian-Oliver ; Yang, Zhaojun |
Published in: |
Mathematical Methods of Operations Research. - Springer. - Vol. 68.2008, 1, p. 97-123
|
Publisher: |
Springer |
Subject: | Real options | Models of mean-reversion | Optimal control | Incomplete market models |
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