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Regime switching in stochastic models of commodity prices: An application to an optimal tree harvesting problem
16 references·6 citing·44 second hop
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References

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  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
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  • 1995Mean Reversion in Equilibrium Asset Prices: Evidence from the Futures Term Structure400 cited
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  • 1997Numerical Methods in Finance

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206 cited
  • 1994The Valuation of Commodity Contingent Claims192 cited
  • Cited by

    • 2016Quantifying the value of investing in distributed natural gas and renewable electricity systems as complements: Applications of discounted cash flow and real options analysis with stochastic inputs45 cited
    • 2012Real option games with R&D and learning spillovers42 cited
    • 2012Combined Fixed Point and Policy Iteration for Hamilton--Jacobi--Bellman Equations in Finance37 cited
    • 2015A new efficient numerical method for solving American option under regime switching model32 cited
    • 2017Resource extraction with a carbon tax and regime switching prices: Exercising your options31 cited
    • 2012A new tree method for pricing financial derivatives in a regime-switching mean-reverting model28 cited