Zhongfeng Yan

Jinan University

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Real Options with Competition and Regime Switching

Mathematical Finance, Vol. 27, Issue 1, pp. 224-250, 2017
Number of pages: 27 Posted: 15 Jan 2017
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Arlington - Department of Finance and Real Estate, Jinan University and Wayne State University
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Abstract:

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variational inequality, irreversible investment, real option, regime switching, game theory, optimal stopping problem