Entry and Exit Decision Problem with Implementation Delay

DOI10.1239/JAP/1231340232MaRDI QIDQ5504160zbMATH OpenOpenAlexFDO

Authors Marius Costeniuc, Michaela Schnetzer, Luca Taschini

Publication date 21 January 2009

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/jap/1231340232

zbMATH Keywords

optimal stoppingBrownian excursionimplementation delayParisian optionWald's identity

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

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Cites work

• scientific article; zbMATH DE number 2150787 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• An investment model with entry and exit decisions
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• Brownian excursions and Parisian barrier options: a note
• INCORPORATING OPERATIONAL CHARACTERISTICS AND START-UP COSTS IN OPTION-BASED VALUATION OF POWER GENERATION CAPACITY
• Investment Under Uncertainty
• OPTIMAL STOPPING WITH DELAYED INFORMATION
• On the Starting and Stopping Problem: Application in Reversible Investments
• On the relationship of the dynamic programing approach and the contingent claim approach to asset valuation
• Optimal Switching in an Economic Activity under Uncertainty
• PRICING PARISIAN-STYLE OPTIONS WITH A LATTICE METHOD
• Short-Term Generation Asset Valuation: A Real Options Approach
• The pricing of options and corporate liabilities

Cited in

(14)

• Optimal stopping with random exercise lag
• On the problems of sequential statistical inference for Wiener processes with delayed observations
• Entry-exit decisions with underlying processes following geometric Lévy processes
• Analysis of the optimal exercise boundary of American put options with delivery lags
• Entry-exit decisions with implementation delay under uncertainty.
• The effects of implementation delay on decision-making under uncertainty
• The explicit solution to a sequential switching problem with non-smooth data
• Buy-low and sell-high investment strategies
• Time-to-build and capacity expansion
• Flexibility premium of emissions permits
• Capacity optimization under uncertainty: the impact of operational time lags
• Entry and exit decisions with linear costs under uncertainty
• On barrier strategy dividends with Parisian implementation delay for classical surplus processes
• Irreversible investment with random delay and partial prepayment

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