Real options with competition and incomplete markets

DOI10.1007/978-3-319-02069-3_2zbMATH Open1418.91583OpenAlexW1019084862MaRDI QIDQ4561925FDOQ4561925

Authors SingRu (Celine) Hoe, Alain Bensoussan 

Publication date 13 December 2018

Published in Inspired by Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-02069-3_2

zbMATH Keywords

optimal stoppingutility maximizationBellman equationStackelberg leader-follower game

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50) Stopping times; optimal stopping problems; gambling theory (60G40) Hierarchical games (including Stackelberg games) (91A65)

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Cites Work

• scientific article; zbMATH DE number 3716008 (Why is no real title available?)
• Real options games in complete and incomplete markets with several decision makers

Cited In (9)

• Real options problem with nonsmooth obstacle
• REAL OPTIONS WITH COMPETITION AND REGIME SWITCHING
• Real options maximizing survival probability under incomplete markets
• A NOTE ON IRREVERSIBLE INVESTMENT, HEDGING AND OPTIMAL CONSUMPTION PROBLEMS
• Real options games in complete and incomplete markets with several decision makers
• Real option model of dynamic growth processes with consumption
• Strategic real options with stochastic volatility in a duopoly model
• Dynamic monotonicity and comparative statics for real options
• Real options and competition

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