On a Class of Optimal Stopping Problems with Applications to Real Option Theory
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Publication:6281665
arXiv1701.01965MaRDI QIDQ6281665FDOQ6281665
Authors: Manuel Guerra, Cláudia Nunes, Carlos M. Oliveira 
Publication date: 8 January 2017
Abstract: We consider an optimal stopping time problem related with many models found in real options problems. The main goal of this work is to bring for the field of real options, different and more realistic pay-off functions, and negative interest rates. Thus, we present analytical solutions for a wide class of pay-off functions, considering quite general assumptions over the model. Also, an extensive and general sensitivity analysis to the solutions, and an economic example which highlight the mathematical difficulties in the standard approaches, are provided.
Management decision making, including multiple objectives (90B50) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20)
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