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Investment timing and capacity choice in duopolistic competition under a jump-diffusion model

Wu, Xiaoqin; Hu, Zhijun - In: Mathematics and financial economics 16 (2022) 1, pp. 125-152

Persistent link: https://www.econbiz.de/10013167720

Price impact equilibrium with transaction costs and TWAP trading

Noh, Eunjung; Weston, Kim - In: Mathematics and financial economics 16 (2022) 1, pp. 187-204

Persistent link: https://www.econbiz.de/10013167754

Price formation and optimal trading in intraday electricity markets

Féron, Olivier; Tankov, Peter; Tinsi, Laura - In: Mathematics and financial economics 16 (2022) 2, pp. 205-237

Persistent link: https://www.econbiz.de/10013167785

Optimal finite horizon contract with limited commitment

Jeon, Junkee; Koo, Hyeng-keun; Park, Kyunghyun - In: Mathematics and financial economics 16 (2022) 2, pp. 267-315

Persistent link: https://www.econbiz.de/10013167937

A dynamical model for real economy and finance

Grassetti, F.; Mammana, C.; Michetti, E. - In: Mathematics and financial economics 16 (2022) 2, pp. 345-366

Persistent link: https://www.econbiz.de/10013167939

Optimal Investment with Two-Factor Uncertainty

Armada, Manuel José da Rocha; Pereira, Paulo Jorge; … - 2018

This paper presents a real options model to value the option to invest in a new project, whose value is contingent on two multiplicative stochastic factors behaving accordingly to correlated geometric Brownian motions. A general sensitivity analysis is conducted highlighting the importance of...

Persistent link: https://www.econbiz.de/10014176210