Valuing flexibility: An impulse control framework
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Cites work
- scientific article; zbMATH DE number 4078444 (Why is no real title available?)
- scientific article; zbMATH DE number 192908 (Why is no real title available?)
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- A Reduction Method Applicable to Compound Option Formulas
- Algorithm AS 195: Multivariate Normal Probabilities with Error Bound
- An Intertemporal General Equilibrium Model of Asset Prices
- An extension of the Black-Scholes model of security valuation
- Computer Evaluation of the Multivariate Normal Integral
- From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process1
- Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities
- Impulse Control of Brownian Motion
- Instantaneous Control of Brownian Motion
- Investment and the Valuation of Firms When There is an Option to Shut Down
- Martingales and arbitrage in multiperiod securities markets
- Mutual fund separation in financial theory - the separating distributions
- Option pricing: A simplified approach
- Portfolio Selection with Transaction Costs
- Probability Integrals of Multivariate Normal and Multivariate $t^1$
- The construction of hopscotch methods for parabolic and elliptic equations in two space dimensions with a mixed derivative
- The pricing of options on assets with stochastic volatilities
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