Irreversible decisions under uncertainty. Optimal stopping made easy
From MaRDI portal
Publication:2383143
zbMath1131.91001MaRDI QIDQ2383143
Svetlana Boyarchenko, Sergei Levendorskii
Publication date: 8 October 2007
Published in: Studies in Economic Theory (Search for Journal in Brave)
stochastic processes; Wiener-Hopf factorization; options pricing; binominal and trinominal models; general Lévy processes
91-02: Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance
60K10: Applications of renewal theory (reliability, demand theory, etc.)
60Gxx: Stochastic processes
Related Items
A general method for finding the optimal threshold in discrete time, American Option Valuation under Continuous-Time Markov Chains, Entry and exit decisions with linear costs under uncertainty, On the Continuous and Smooth Fit Principle for Optimal Stopping Problems in Spectrally Negative Lévy Models, Optimal Stopping for Exponential Lévy Models with Weighted Discounting, Contraction options and optimal multiple-stopping in spectrally negative Lévy models, Entry-exit decisions with underlying processes following geometric Lévy processes, Investment timing in presence of downside risk: a certainty equivalent characterization, An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance, Optimal payout policy in presence of downside risk, Optimal timing for annuitization, based on jump diffusion fund and stochastic mortality, The likelihood of mixed hitting times, Adaptation to climate change: extreme events versus gradual changes, Leaving well-worn paths: reversal of the investment-uncertainty relationship and flexible biogas plant operation, Optimal stopping problems in Lévy models with random observations, Preemption games under Lévy uncertainty, Evaluation and default time for companies with uncertain cash flows, Wiener-Hopf factorization for arithmetic Brownian motion with time-dependent drift and volatility, An effective method for the explicit solution of sequential problems on the real line, Multiobjective Stopping Problem for Discrete-Time Markov Processes: Convex Analytic Approach, PRICES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÉVY-DRIVEN MODELS, NEAR BARRIER, Optimal stopping of Markov chains and three abstract optimization problems, American Options in the Heston Model with Stochastic Interest Rate and Its Generalizations, METHOD OF PAIRED CONTOURS AND PRICING BARRIER OPTIONS AND CDSs OF LONG MATURITIES, PRICES AND SENSITIVITIES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÉVY-DRIVEN MODELS