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Pricing external barrier options in a regime-switching model
Kim, Jerim; Kim, Jeongsim; Yoo, Hyun Joo; Kim, Bara - In: Journal of economic dynamics & control 53 (2015), pp. 123-143
Persistent link: https://www.econbiz.de/10011526900
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American option pricing under GARCH by a Markov chain approximation
Duan, Jin-Chuan; Simonato, Jean-Guy - In: Journal of economic dynamics & control 25 (2001) 11, pp. 1689-1718
Persistent link: https://www.econbiz.de/10001599252
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An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching
He, Xin-Jiang; Zhu, Song-Ping - In: Journal of economic dynamics & control 71 (2016), pp. 77-85
Persistent link: https://www.econbiz.de/10011708772
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Real options and contingent convertibles with regime switching
Luo, Pengfei; Yang, Zhaojun - In: Journal of economic dynamics & control 75 (2017), pp. 122-135
Persistent link: https://www.econbiz.de/10011817155
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Optimal investment of variance-swaps in jump-diffusion market with regime-switching
Bo, Lijun; Tang, Dan; Wang, Yongjin - In: Journal of economic dynamics & control 83 (2017), pp. 175-197
Persistent link: https://www.econbiz.de/10011915585
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Hysteresis due to irreversible exit : addressing the option to mothball
Guerra, Manuel; Kort, Peter M.; Nunes, Cláudia; … - In: Journal of economic dynamics & control 92 (2018), pp. 69-83
Persistent link: https://www.econbiz.de/10011974233
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Option pricing with transaction costs using a Markov chain approximation
Monoyios, Michael - In: Journal of economic dynamics & control 28 (2004) 5, pp. 889-913
Persistent link: https://www.econbiz.de/10001855988
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The role of spatial scale in the timing of uncertain environmental policy
Sims, Charles; Finnoff, David - In: Journal of economic dynamics & control 36 (2012) 3, pp. 369-382
Persistent link: https://www.econbiz.de/10009515968
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Computation of reservation prices of options with proportional transaction costs
Damgaard, Anders - In: Journal of economic dynamics & control 30 (2006) 3, pp. 415-444
Persistent link: https://www.econbiz.de/10003289311
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Investing in electricity production under a reliability options scheme
Fontini, Fulvio; Vargiolu, Tiziano; Zormpas, Dimitrios - In: Journal of economic dynamics & control 126 (2021), pp. 1-21
Persistent link: https://www.econbiz.de/10012667919