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American perpetual options with random start
KTH, Skolan för arkitektur och samhällsbyggnad (ABE), Fastigheter och byggande, Bygg- och fastighetsekonomi.ORCID-id: 0000-0003-4454-474X
2019 (engelsk)Inngår i: Results in Applied Mathematics, ISSN 2590-0374, Vol. 3, artikkel-id 100017Artikkel i tidsskrift (Fagfellevurdert) Published
Abstract [en]

We consider the valuation of American perpetual options with the property that they are only possible to exercise after the occurrence of a random time, which is a stopping time with respect to a given filtration. One situation where this feature is present is when making an irreversible investment, e.g. building on vacant land, while waiting for a permit to be allowed to do so. The random time in this case is the time at which the permit is given. This and the value of a version of an abandonment option are given as two applications of this modelling framework. 

sted, utgiver, år, opplag, sider
Elsevier B.V. , 2019. Vol. 3, artikkel-id 100017
Emneord [en]
American options, Optimal stopping, Perpetual options, Real options
HSV kategori
Forskningsprogram
Matematik
Identifikatorer
URN: urn:nbn:se:kth:diva-262172DOI: 10.1016/j.rinam.2019.100017ISI: 000646629900006Scopus ID: 2-s2.0-85072196413OAI: oai:DiVA.org:kth-262172DiVA, id: diva2:1365847
Merknad

QC 20191025

Tilgjengelig fra: 2019-10-25 Laget: 2019-10-25 Sist oppdatert: 2022-06-26bibliografisk kontrollert

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