Learning, pricing, timing and hedging of the option to invest for perpetual cash flows with idiosyncratic risk
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DOI: 10.1016/j.jmateco.2014.02.009
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Cited by:
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- Yang, Zhaojun & Zhang, Chunhong, 2015. "Two new equity default swaps with idiosyncratic risk," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 254-273.
- Zhaojun Yang, 2020. "Investment and asset securitization with an option‐for‐guarantee swap," European Financial Management, European Financial Management Association, vol. 26(4), pages 1006-1030, September.
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Keywords
Partial information; Hedging; Real options; Precautionary savings; Information value; Non-linear PDEs;All these keywords.
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