Valuing flexibility: An impulse control framework
From MaRDI portal
Publication:1313148
DOI10.1007/BF02282044zbMath0800.90053MaRDI QIDQ1313148
James E. Hodder, Alexander J. Triantis
Publication date: 26 January 1994
Published in: Annals of Operations Research (Search for Journal in Brave)
Related Items
Tactical supply chain planning models with inherent flexibility: definition and review ⋮ Double-sided price adjustment flexibility with a preemptive right to exercise
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- An extension of the Black-Scholes model of security valuation
- Martingales and arbitrage in multiperiod securities markets
- The construction of hopscotch methods for parabolic and elliptic equations in two space dimensions with a mixed derivative
- Mutual fund separation in financial theory - the separating distributions
- Instantaneous Control of Brownian Motion
- Impulse Control of Brownian Motion
- Algorithm AS 195: Multivariate Normal Probabilities with Error Bound
- A Reduction Method Applicable to Compound Option Formulas
- An Intertemporal General Equilibrium Model of Asset Prices
- Investment and the Valuation of Firms When There is an Option to Shut Down
- Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities
- From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process1
- Probability Integrals of Multivariate Normal and Multivariate $t^1$
- Option pricing: A simplified approach
- Computer Evaluation of the Multivariate Normal Integral
- Portfolio Selection with Transaction Costs
