Optimal stopping made easy

DOI10.1016/J.JMATECO.2006.09.009MaRDI QIDQ878006zbMATH OpenOpenAlexFDO

Authors Svetlana Boyarchenko, Sergei Levendorskiĭ

Publication date 4 May 2007

Published in Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmateco.2006.09.009

zbMATH Keywords

real optionsembedded optionsexpected present value operators

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Corporate finance (dividends, real options, etc.) (91G50) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites work

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• ON ERRORS AND BIAS OF FOURIER TRANSFORM METHODS IN QUADRATIC TERM STRUCTURE MODELS
• Optimal capital structure and endogenous default
• Optimal stopping and perpetual options for Lévy processes
• Option pricing: A simplified approach
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• Some remarks on first passage of Lévy processes, the American put and pasting principles
• The pricing of options and corporate liabilities

Cited in

(16)

• A continuous-time search model with job switch and jumps
• Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk
• Real Options in Leasing: The Effect of Idle Time
• Optimal payout policy in presence of downside risk
• Numerical procedure of addressing the optimal stopping time of employer's profile formation option in continuous time
• Smoothing sudden stops
• Real Options
• Real options: a framework of optimal switching
• Discrete time modeling of mean-reverting stochastic processes for real option valuation
• The optimal stopping problem revisited
• Investment timing in presence of downside risk: a certainty equivalent characterization
• Irreversible decisions under uncertainty. Optimal stopping made easy
• Optimal stopping problems in Lévy models with random observations
• Option pricing: A simplified approach
• The simple analytics of sudden stops
• Valuation of real options using the minimal entropy martingale measure

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