Optimal switching decisions under stochastic volatility with fast mean reversion
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Publication:322644
DOI10.1016/J.EJOR.2015.12.011zbMATH Open1346.91165OpenAlexW3125888902MaRDI QIDQ322644FDOQ322644
Andrianos E. Tsekrekos, Athanasios Yannacopoulos
Publication date: 7 October 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2015.12.011
Recommendations
Variational inequalities (49J40) Stochastic models in economics (91B70) Optimal stochastic control (93E20)
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Cited In (16)
- Optimal timing of non-pharmaceutical interventions during an epidemic
- Optimal harvesting under marine reserves and uncertain environment
- Optimal investment in a general stochastic factor framework under model uncertainty
- An investment model with switching costs and the option to abandon
- Valuation of power plants
- Switching from oil to gas production in a depleting field
- Leaving well-worn paths: reversal of the investment-uncertainty relationship and flexible biogas plant operation
- Optimal decision policy for real options under general Markovian dynamics
- Optimal entry and exit decisions under uncertainty and the impact of mean reversion
- Costly switching and investment volatility
- Efficient algorithms of pathwise dynamic programming for decision optimization in mining operations
- Incentive contract design for supplier switching with considering learning effect
- Pricing Asset Scheduling Flexibility using Optimal Switching
- To expand and to abandon: real options under asset variance risk premium
- Optimal Switching in an Economic Activity under Uncertainty
- Optimal Switching between Locking Down and Opening the Economy Because of an Infection
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