Optimal entry and exit decisions under uncertainty and the impact of mean reversion

DOI10.1007/S43069-022-00161-9MaRDI QIDQ2079296zbMATH OpenOpenAlexWikidataFDO

Authors Jostein Tvedt

Publication date 29 September 2022

Published in SN Operations Research Forum (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s43069-022-00161-9

zbMATH Keywords

stochastic processesreal optionsmean reversionoptimal switching

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50) Optimal stochastic control (93E20) Hamilton-Jacobi equations in optimal control and differential games (49L12)

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Cites work

• scientific article; zbMATH DE number 3863589 (Why is no real title available?)
• Consumption and Portfolio Decisions when Expected Returns are Time Varying
• Entry and exit decisions based on a discount factor approach
• Hysteresis effects under CIR interest rates
• Invest or exit? Optimal decisions in the face of a declining profit stream
• Investment under alternative return assumptions
• Optimal Switching in an Economic Activity under Uncertainty
• Optimal switching decisions under stochastic volatility with fast mean reversion
• Optimal switching strategy of a mean-reverting asset over multiple regimes
• Options in the Real World: Lessons Learned in Evaluating Oil and Gas Investments
• The effect of mean reversion on entry and exit decisions under uncertainty
• The effect of mean reversion on investment under uncertainty
• The pricing of options and corporate liabilities

Cited in

(5)

• Irreversible exit decisions under mean-reverting uncertainty
• The effect of mean reversion on entry and exit decisions under uncertainty
• Entry-exit decisions with implementation delay under uncertainty.
• Hysteresis due to irreversible exit: addressing the option to mothball
• Investment Under Uncertainty with Stochastically Switching Profit Streams: Entry and Exit over the Business Cycle.

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