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An Algorithm for the Pricing and Timing of the Option to make a Two-Stage Investment with Credit Guarantees
We develop a jump-diffusion model for a guarantee-investment combination financing mode (G-I mode) that is recently popular in financial practice. We assume that a borrower has exclusively an option to invest in a project in two stages. The project’s cash flow follows a double exponential jump-diffu...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer US
2021
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8627173/ https://www.ncbi.nlm.nih.gov/pubmed/34866800 http://dx.doi.org/10.1007/s10614-021-10220-8 |