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American perpetual options with random start
- Publication Year :
- 2019
-
Abstract
- 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.<br />QC 20191025
Details
- Database :
- OAIster
- Notes :
- English
- Publication Type :
- Electronic Resource
- Accession number :
- edsoai.on1234970870
- Document Type :
- Electronic Resource
- Full Text :
- https://doi.org/10.1016.j.rinam.2019.100017