On the relationship of the dynamic programing approach and the contingent claim approach to asset valuation

DOI10.1007/S007800050070MaRDI QIDQ1979072zbMATH OpenOpenAlexFDO

Authors Tomas S. Knudsen, Bernhard K. Meister, Mihail Zervos

Publication date 24 May 2000

Published in Finance and Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s007800050070

zbMATH Keywords

dynamic programmingcontingent claimsreal assetsnon-arbitrage investment model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Dynamic programming (90C39) Stochastic systems in control theory (general) (93E03) Optimal stochastic control (93E20)

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• A model for investment decisions with switching costs.
• Entry and Exit Decision Problem with Implementation Delay

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