IRREVERSIBLE INVESTMENTS AND AMBIGUITY AVERSION

DOI10.1142/S0219024917500443zbMath1415.91305OpenAlexW3122662712MaRDI QIDQ4595297

Sebastian Jaimungal, Álvaro Cartea

Publication date: 29 November 2017

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024917500443

zbMATH Keywords

real optionsrisk aversionambiguity aversionrobust optimal controlindifference pricing

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Corporate finance (dividends, real options, etc.) (91G50)

Related Items

Model Uncertainty in Commodity Markets, An optimal multiple stopping approach to infrastructure investment decisions, A closed-form solution for options with ambiguity about stochastic volatility, Adaptive Robust Control in Continuous Time

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