A note on (dis)investment options and perpetuities under CIR interest rates

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2013

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Springer - Verlag

Abstract

In this chapter, we discuss alternative ways of computing the oprions to invest in and divest from an investment project in a CIR economy (Cox et al., Ecomometrica 53(2): 385-408, 1985). Moreover, different methods of determining CIR perpetuities will also be analysed.

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Keywords

CIR model, Interest rates, Investment options, Desinvestment options, Perpetuities

Citation

Larguinho, M.; Dias, J.C.; Braumann, C.A. (2013). A note on (dis)investment options and perpetuities under CIR interest rates. In Recent Developments in Modeling and Applications in Statistics. Oliveira, P.E.; Graça Temido, M.; Henriques, C.; Vichi, M. (Eds.), Springer, p. 203-211

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http://hdl.handle.net/10174/10501

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MAT - Publicações - Capítulos de Livros

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