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Stochastic discount factors and the optimal timing of irreversible investments
(English)Manuscript (preprint) (Other academic)
Abstract [en]

By using a general semimartingale framework, we show how the transformation of an optimal stopping problem under the objective probability measure into an optimal stopping problem under the risk-neutral probability measure looks like. We also note that the difference between equivalent and a locally equivalent are important when considering infinite time horizons (i.e., when considering perpetual options).

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Economics and Business
Identifiers
URN: urn:nbn:se:kth:diva-266103OAI: oai:DiVA.org:kth-266103DiVA, id: diva2:1381240
Note

QC 20191220

Available from: 2019-12-20 Created: 2019-12-20 Last updated: 2019-12-20Bibliographically approved

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fulltext(295 kB)8 downloads
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File name FULLTEXT01.pdfFile size 295 kBChecksum SHA-512
1ded4d29e0cadee30dc3df313389c0948d9e5fb232d98fab4330daae939072eea725d382940bc0e70e0a9aab98c327f18fbc20254467c5d9a23a77f99f6fc222
Type fulltextMimetype application/pdf

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Armerin, Fredrik
Economics and Business

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CiteExportLink to record
Permanent link

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Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf