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ArticlePricing swing options with regime switching

M.I.M. Wahab2009

Article2009

Pricing swing options with regime switching

M.I.M. Wahab · Chi-Guhn Lee

34 citations·0/0 files stored·Annals of Operations Research

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Stochastic processes and financial applications Capital Investment and Risk Analysis Risk and Portfolio Optimization

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References

1973The Pricing of Options and Corporate Liabilities 1979Option pricing: A simplified approach 2016“Options, Futures, and Other Derivatives”2003Options, Futures and Other Derivatives 1996Real Options: Managerial Flexibility and Strategy in Resource Allocation 1996Modeling the conditional distribution of interest rates as a regime-switching process 1996Real options: Managerial flexibility and strategy in resource allocation 1990Long Swings in the Dollar: Are They in the Data and Do Markets Know It?

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Year2009

Typearticle

Published2009-08-24

VenueAnnals of Operations Research

ISSN-L0254-5330

Languageen

Citations34

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s10479-009-0599-z

openalex_workW2038544490

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