| Autor: |
Adinya, Ini, Ekhaguere, G. O. S. |
| Předmět: |
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| Zdroj: |
International Journal of Financial Engineering; Mar2022, Vol. 9 Issue 1, p1-27, 27p |
| Abstrakt: |
Using a real option approach, this paper models an arbitrary real life investment, which typically has a long maturity date, as a perpetual American call option in a Levy market. Expressions for the moments, characteristic function and infinitesimal generator of the associated jump-diffusion Levy process, defined by two independent compound Poisson processes and two correlated standard Brownian motions, are derived and these fundamental results are employed to determine the optimal time for investment. An application of the results to a Build Operate and Transfer investment is furnished. [ABSTRACT FROM AUTHOR] |
| Databáze: |
Complementary Index |
| Externí odkaz: |
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