Real options games in complete and incomplete markets with several decision makers

DOI10.1137/090768060MaRDI QIDQ3055869zbMATH OpenOpenAlexFDO

Authors J. David Diltz, SingRu (Celine) Hoe, Alain Bensoussan

Publication date 10 November 2010

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/090768060

zbMATH Keywords

optimal stoppingreal optionsvariational inequalityoptimal investment strategyutility-based pricingStackelberg leader-follower game

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15) Hierarchical games (including Stackelberg games) (91A65) Probabilistic games; gambling (91A60)

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