Strategic real options with stochastic volatility in a duopoly model
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- Huang, Bing & Cao, Jiling & Chung, Hyuck, 2014. "Strategic real options with stochastic volatility in a duopoly model," Chaos, Solitons & Fractals, Elsevier, vol. 58(C), pages 40-51.
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Cited by:
- Kim, Jeong-Hoon & Lee, Min-Ku & Sohn, So Young, 2014. "Investment timing under hybrid stochastic and local volatility," Chaos, Solitons & Fractals, Elsevier, vol. 67(C), pages 58-72.
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More about this item
Keywords
Asymptotic solution; Real option; Stochastic duopoly game; Stochastic volatility.;All these keywords.
JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BEC-2013-04-06 (Business Economics)
- NEP-COM-2013-04-06 (Industrial Competition)
- NEP-ORE-2013-04-06 (Operations Research)
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