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

DOI10.1007/S43069-022-00161-9zbMATH Open1501.91179OpenAlexW4296962940WikidataQ114686975 ScholiaQ114686975MaRDI QIDQ2079296FDOQ2079296

Authors: Jostein Tvedt 

Publication date: 29 September 2022

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

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

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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)

Cites Work

• The pricing of options and corporate liabilities
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• Optimal switching strategy of a mean-reverting asset over multiple regimes
• Optimal Switching in an Economic Activity under Uncertainty
• Investment under alternative return assumptions
• The effect of mean reversion on investment under uncertainty
• The effect of mean reversion on entry and exit decisions under uncertainty
• Entry and exit decisions based on a discount factor approach
• Consumption and Portfolio Decisions when Expected Returns are Time Varying
• Invest or exit? Optimal decisions in the face of a declining profit stream
• Optimal switching decisions under stochastic volatility with fast mean reversion
• Hysteresis effects under CIR interest rates
• Options in the Real World: Lessons Learned in Evaluating Oil and Gas Investments

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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