Random start American perpetual options
(English)Manuscript (preprint) (Other academic)
The valuation of American perpetual options with the property that they are only possible to exercise after a random time has occured are considered. One situation where this feature is present is when we want to value the real option of when to build on vacant land and we are waiting for a permit. This and a version of an abandonment option are our two applications of this model.
Real options, American options, Perpetual options
Economics and Business
IdentifiersURN: urn:nbn:se:kth:diva-188141OAI: oai:DiVA.org:kth-188141DiVA: diva2:933612
QC 201606072016-06-072016-06-072016-09-02Bibliographically approved