Closed-form solution to a real option problem with regime switching.

Michi Nishihara

Published in: Oper. Res. Lett. (2020)

Keyphrases

closed form solutions
real option
closed form
cash flow
decision makers
grey relational
decision making
life cycle
point correspondences
special case
constrained optimization
line correspondences
power plant
brownian motion
stochastic process
grey relational analysis
viewpoint
genetic algorithm