Real option valuation under incomplete markets via dynamic programming

DOI10.23952/COT.2026.34MaRDI QIDQ7295775zbMATH OpenFDO

Authors Markku Kallio, Rudan Wang

Publication date 14 July 2026

Published in Communications in Optimization Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.23952/COT.2026.34

Mathematics Subject Classification ID

Dynamic programming (90C39) Portfolio theory (91G10)

Cites work

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• Valuing oil properties: Integrating option pricing and decision analysis approaches
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