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Title: A note on (dis)investment options and perpetuities under CIR interest rates
Authors: Larguinho, Manuela
Dias, José Carlos
Braumann, Carlos A.
Keywords: CIR model
Interest rates
Investment options
Desinvestment options
Issue Date: 2013
Publisher: Springer - Verlag
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
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.
Type: bookPart
Appears in Collections:MAT - Publicações - Capítulos de Livros
CIMA - Publicações - Capítulos de Livros

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