Real-Option Valuation in Multiple Dimensions Using Poisson Optional Stopping Times
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DOI: 10.1017/s0022109019000048
Abstract: We provide a new framework for valuing multidimensional real options where opportunities to exercise the option are generated by an exogenous Poisson process, which can be viewed as a liquidity constraint on decision times. This… read more here.
Keywords: stopping times; poisson optional; option valuation; optional stopping ... See more keywords
Option Valuation under Stochastic Volatility II: With Mathematica Code
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DOI: 10.1080/14697688.2017.1317505
Abstract: In his second volume on stochastic volatility and option pricing, Alan Lewis extends his previous work with a particular focus on jump modelling. The Heston or Feller 3/2 models are frequently reworked to incorporate jumps.… read more here.
Keywords: stochastic volatility; volatility; mathematica; option valuation ... See more keywords