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