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Real Options under a Double Exponential Jump-Diffusion Model with Regime Switching and Partial Information

Luo, Pengfei - 2015

We consider an irreversible investment in a project, which generates cash flow following a double exponential jump-diffusion process and its expected return is governed by a continuous-time two-state Markov chain. If the expected return is observable, we present explicit expressions for the...

Persistent link: https://www.econbiz.de/10013038765

Consumption utility-based pricing and timing of the option to invest with partial information

Yang, Jinqiang; Yang, Zhaojun - In: Computational economics 39 (2012) 2, pp. 195-217

Persistent link: https://www.econbiz.de/10009513169

Learning, pricing, timing and hedging of the option to invest for perpetual cash flows with idiosyncratic risk

Song, Dandan; Wang, Huamao; Yang, Zhaojun - In: Journal of mathematical economics 51 (2014), pp. 1-11

Persistent link: https://www.econbiz.de/10010478603

Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk

Ewald, Christian-Oliver; Yang, Zhaojun - In: Mathematical methods of operations research 68 (2008) 1, pp. 97-123

Persistent link: https://www.econbiz.de/10003748388

Investment and financing for SMEs with a partial guarantee and jump risk

Luo, Pengfei; Wang, Huamao; Yang, Zhaojun - In: European journal of operational research : EJOR 249 (2016) 3, pp. 1161-1168

Persistent link: https://www.econbiz.de/10011439328

Contingent capital, real options, and agency costs

Song, Dandan; Yang, Zhaojun - In: International review of finance 16 (2016) 1, pp. 3-40

Persistent link: https://www.econbiz.de/10011713667

Growth option, contingent capital and agency conflicts

Tan, Yingxian; Yang, Zhaojun - In: International review of economics & finance : IREF 51 (2017), pp. 354-369

Persistent link: https://www.econbiz.de/10011754464

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

Real option, debt maturity and equity default swaps under negotiation

Gan, Liu; Luo, Pengfei; Yang, Zhaojun - In: Finance research letters 18 (2016), pp. 278-284

Persistent link: https://www.econbiz.de/10011657215

Optimal investment and financing with macroeconomic risk and loan guarantees

Tang, Xiaolin; Yang, Zhaojun - In: The journal of credit risk : published quarterly by … 13 (2017) 4, pp. 75-97

Persistent link: https://www.econbiz.de/10012041614