Investments with declining cost following a Lévy process
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References listed on IDEAS
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Discussion Papers
2005/12, Norwegian School of Economics, Department of Business and Management Science.
- Aase, Knut K, 2005. "The perpetual American put option for jump-diffusions with applications," University of California at Los Angeles, Anderson Graduate School of Management qt31g898nz, Anderson Graduate School of Management, UCLA.
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More about this item
Keywords
Optimal stopping; irreversible investments; innovations; Lévy processes;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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