Dynamic monotonicity and comparative statics for real options

DOI10.1006/JETH.1997.2284MaRDI QIDQ1367765zbMATH OpenOpenAlexFDO

Authors Eric J. Friedman, Simon Johnson

Publication date 21 May 1998

Published in Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1006/jeth.1997.2284

zbMATH Keywords

monotonicitycomplementaritiesdynamic programsmonotone decision rules

Mathematics Subject Classification ID

Dynamic programming (90C39) Corporate finance (dividends, real options, etc.) (91G50) Stopping times; optimal stopping problems; gambling theory (60G40)

Recommendations

• REAL OPTIONS WITH COMPETITION AND REGIME SWITCHING
• Real option duopolies with quasi-hyperbolic discounting
• MONOTONICITY AND CONVEXITY OF OPTION PRICES REVISITED
• Real options in a duopoly market with general volatility structure
• Real options with constant relative risk aversion
• Real options: a framework of optimal switching
• Real options in a duopoly with jump diffusion prices
• Real options with competition and incomplete markets
• Structural estimation of real options models

Cites work

• scientific article; zbMATH DE number 4028448 (Why is no real title available?)
• scientific article; zbMATH DE number 46153 (Why is no real title available?)
• scientific article; zbMATH DE number 52448 (Why is no real title available?)
• scientific article; zbMATH DE number 871250 (Why is no real title available?)
• Competitive chaos
• Invariant manifolds
• Minimizing a Submodular Function on a Lattice
• Monotone Comparative Statics
• On the indeterminacy of capital accumulation paths
• Rationalizability, Learning, and Equilibrium in Games with Strategic Complementarities
• Sensitivity analysis of multisector optimal economic dynamics
• Stochastic Monotonicity and Stationary Distributions for Dynamic Economies
• Strict monotonicity in comparative statics
• Systems of Differential Equations that are Competitive or Cooperative II: Convergence Almost Everywhere

Cited in

(3)

• MONOTONICITY AND CONVEXITY OF OPTION PRICES REVISITED
• A weakly monotonic backward induction algorithm on finite bounded subsets of vector lattices.
• Monotonic robust optimal control policies for the time-quality trade-offs in concurrent new product development (NPD)

This page was built for publication: Dynamic monotonicity and comparative statics for real options

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1367765)