Optimal switching decisions under stochastic volatility with fast mean reversion
From MaRDI portal
Publication:322644
DOI10.1016/j.ejor.2015.12.011zbMath1346.91165OpenAlexW3125888902MaRDI QIDQ322644
Andrianos E. Tsekrekos, Athanasios N. 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
Variational inequalities (49J40) Stochastic models in economics (91B70) Optimal stochastic control (93E20)
Related Items (13)
An investment model with switching costs and the option to abandon ⋮ Optimal harvesting under marine reserves and uncertain environment ⋮ Efficient algorithms of pathwise dynamic programming for decision optimization in mining operations ⋮ Incentive contract design for supplier switching with considering learning effect ⋮ Optimal investment in a general stochastic factor framework under model uncertainty ⋮ Valuation of power plants ⋮ Optimal decision policy for real options under general Markovian dynamics ⋮ Switching from oil to gas production in a depleting field ⋮ Optimal entry and exit decisions under uncertainty and the impact of mean reversion ⋮ Optimal Switching between Locking Down and Opening the Economy Because of an Infection ⋮ Optimal timing of non-pharmaceutical interventions during an epidemic ⋮ To expand and to abandon: real options under asset variance risk premium ⋮ Leaving well-worn paths: reversal of the investment-uncertainty relationship and flexible biogas plant operation
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Hysteresis effects under CIR interest rates
- Impact of sourcing flexibility on the outsourcing of services under demand uncertainty
- Pricing perpetual American options under a stochastic-volatility model with fast mean reversion
- Technology choice under several uncertainty sources
- Outsourcing and capacity planning in an uncertain global environment
- A model for investment decisions with switching costs.
- Controlling for supplier switching in the presence of real options and asymmetric information
- A stochastic multiscale model for electricity generation capacity expansion
- Flexible waste management under uncertainty
- Supplier switching decisions
- Strategic investment decisions under fast mean-reversion stochastic volatility
- Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
- Global Production Planning Under Exchange-Rate Uncertainty
- Pricing perpetual American puts under multi-scale stochastic volatility
- SHOULD AN AMERICAN OPTION BE EXERCISED EARLIER OR LATER IF VOLATILITY IS NOT ASSUMED TO BE A CONSTANT?
- Overlaying Time Scales in Financial Volatility Data
- Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models
- Investment and the Valuation of Firms When There is an Option to Shut Down
- OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
- Optimal Switching in an Economic Activity under Uncertainty
- MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
- Singular Perturbations in Option Pricing
- Multiscale Stochastic Volatility Asymptotics
- Singularly Perturbed Markov Decision Processes: A Multiresolution Algorithm
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
This page was built for publication: Optimal switching decisions under stochastic volatility with fast mean reversion