Entry and Exit Decision Problem with Implementation Delay

DOI10.1239/JAP/1231340232zbMATH Open1167.60008OpenAlexW3125791851MaRDI QIDQ5504160FDOQ5504160

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

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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)

Cites Work

• The pricing of options and corporate liabilities
• Title not available (Why is that?)
• On the Starting and Stopping Problem: Application in Reversible Investments
• Optimal Switching in an Economic Activity under Uncertainty
• Title not available (Why is that?)
• Brownian Excursions and Parisian Barrier Options
• PRICING PARISIAN-STYLE OPTIONS WITH A LATTICE METHOD
• Short-Term Generation Asset Valuation: A Real Options Approach
• Investment Under Uncertainty
• An investment model with entry and exit decisions
• OPTIMAL STOPPING WITH DELAYED INFORMATION
• INCORPORATING OPERATIONAL CHARACTERISTICS AND START-UP COSTS IN OPTION-BASED VALUATION OF POWER GENERATION CAPACITY
• Brownian excursions and Parisian barrier options: a note
• On the relationship of the dynamic programing approach and the contingent claim approach to asset valuation

Cited In (14)

• 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 explicit solution to a sequential switching problem with non-smooth data
• The effects of implementation delay on decision-making under uncertainty
• 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
• Optimal stopping with random exercise lag

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