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ArticleFinite maturity caps and floors on continuous flows

Mark B. Shackleton2007

Article2007

Finite maturity caps and floors on continuous flows

Mark B. Shackleton · Rafał M. Wojakowski

36 citations·0/0 files stored·Journal of Economic Dynamics and Control

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Stochastic processes and financial applications Capital Investment and Risk Analysis Risk Management in Financial Firms

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References

1973The Pricing of Options and Corporate Liabilities 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1994Investment Under Uncertainty.1994Investment under Uncertainty 2007Brownian Motion and Stochastic Calculus 1976The pricing of commodity contracts 1963Capital Theory and Investment Behavior 1991Brownian motion and stochastic calculus

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2011Getting Real with Real Options: A Utility–Based Approach for Finite–Time Investment in Incomplete Markets

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Year2007

Typearticle

Published2007-05-01

VenueJournal of Economic Dynamics and Control

ISSN-L0165-1889

Languageen

Citations36

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jedc.2006.12.012

openalex_workW3125121908

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