Optimal stopping made easy
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- Svetlana Boyarchenko & Sergey Levendorskiy, 2004. "Optimal stopping made easy," Finance 0410016, University Library of Munich, Germany.
References listed on IDEAS
- Svetlana Boyarchenko & Sergei Levendorskii, 2005.
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- Svetlana Boyarchenko & Sergei Levendorskii, 2004.
"Real options and the universal bad news principle,"
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"General Option Exercise Rules, with Applications to Embedded Options and Monopolistic Expansion,"
The B.E. Journal of Theoretical Economics, De Gruyter, vol. 6(1), pages 1-51, June.
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Citations
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Cited by:
- Mohammad Hossein Dehghani, 2014. "Strategic Technology Adoption under Technological Uncertainty," Iranian Economic Review (IER), Faculty of Economics,University of Tehran.Tehran,Iran, vol. 18(1), pages 1-31, Winter.
- Luis Alvarez & Teppo Rakkolainen, 2009. "Optimal payout policy in presence of downside risk," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(1), pages 27-58, March.
- Abbring, J.H., 2009. "Mixed Hitting-Time Models," Other publications TiSEM 6c745572-a041-4990-a767-6, Tilburg University, School of Economics and Management.
- Jaap H. Abbring, 0000. "Mixed Hitting-Time Models," Tinbergen Institute Discussion Papers 07-057/3, Tinbergen Institute, revised 11 Aug 2009.
- Sergei Levendorskiĭ, 2022. "Operators and Boundary Problems in Finance, Economics and Insurance: Peculiarities, Efficient Methods and Outstanding Problems," Mathematics, MDPI, vol. 10(7), pages 1-36, March.
- Moreno Othón M., 2014. "Consumption of Durable Goods under Ambiguity," Working Papers 2014-02, Banco de México.
- Jaap H. Abbring & Tim Salimans, 2019. "The Likelihood of Mixed Hitting Times," Papers 1905.03463, arXiv.org, revised Apr 2021.
- Jaap H. Abbring, 2012.
"Mixed Hitting‐Time Models,"
Econometrica, Econometric Society, vol. 80(2), pages 783-819, March.
- Jaap Abbring, 2007. "Mixed hitting-time models," CeMMAP working papers CWP15/07, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Abbring, J.H., 2009. "Mixed Hitting-Time Models," Discussion Paper 2009-62, Tilburg University, Center for Economic Research.
- GAHUNGU, Joachim & SMEERS, Yves, 2011. "Sufficient and necessary conditions for perpetual multi-assets exchange options," LIDAM Discussion Papers CORE 2011035, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Luis H. R. Alvarez & Teppo A. Rakkolainen, 2006.
"A Class of Solvable Optimal Stopping Problems of Spectrally Negative Jump Diffusions,"
Discussion Papers
9, Aboa Centre for Economics.
- Luis H. R. Alvarez E. & Pekka Matomaki & Teppo A. Rakkolainen, 2013. "A Class of Solvable Optimal Stopping Problems of Spectrally Negative Jump Diffusions," Papers 1302.4181, arXiv.org.
- Boyarchenko, Svetlana & Levendorskiĭ, Sergei, 2014.
"Preemption games under Lévy uncertainty,"
Games and Economic Behavior, Elsevier, vol. 88(C), pages 354-380.
- Svetlana Boyarchenko & Sergei Levendorskii, 2011. "Preemption Games under Levy Uncertainty," Department of Economics Working Papers 131101, The University of Texas at Austin, Department of Economics, revised Oct 2014.
- Abbring, Jaap H. & Salimans, Tim, 2021. "The likelihood of mixed hitting times," Journal of Econometrics, Elsevier, vol. 223(2), pages 361-375.
- Mitya Boyarchenko & Sergei Levendorskiĭ, 2009. "Prices And Sensitivities Of Barrier And First-Touch Digital Options In Lévy-Driven Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(08), pages 1125-1170.
- Svetlana Boyarchenko & Sergei Levendorskii, 2005. "A theory of endogenous time preference, and discounted utility anomalies," Microeconomics 0506005, University Library of Munich, Germany.
- Yong-Chao Zhang, 2017. "Entry–Exit Decisions with Underlying Processes Following Geometric Lévy Processes," Journal of Optimization Theory and Applications, Springer, vol. 172(1), pages 309-327, January.
- Luis Alvarez & Teppo Rakkolainen, 2010. "Investment timing in presence of downside risk: a certainty equivalent characterization," Annals of Finance, Springer, vol. 6(3), pages 317-333, July.
- Svetlana Boyarchenko & Sergei Levendorskii, 2005. "Discount factors ex post and ex ante, and discounted utility anomalies," Microeconomics 0510013, University Library of Munich, Germany, revised 13 Dec 2005.
- Livdan, Dmitry & Nezlobin, Alexander, 2022. "Incentivizing irreversible investment," LSE Research Online Documents on Economics 110531, London School of Economics and Political Science, LSE Library.
- Fernando A. C. C. Fonte & Dalila B. M. M. Fontes, 2007. "Optimal investment timing using Markov jump price processes," FEP Working Papers 245, Universidade do Porto, Faculdade de Economia do Porto.
- Mitya Boyarchenko & Marco De Innocentis & Sergei Levendorskiĭ, 2011. "Prices Of Barrier And First-Touch Digital Options In Lévy-Driven Models, Near Barrier," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 14(07), pages 1045-1090.
- Boyarchenko, Svetlana & Levendorskii, Sergei, 2010. "Optimal stopping in Levy models, for non-monotone discontinuous payoffs," MPRA Paper 27999, University Library of Munich, Germany.
- Jaap H. Abbring, 2010. "Identification of Dynamic Discrete Choice Models," Annual Review of Economics, Annual Reviews, vol. 2(1), pages 367-394, September.
- Relativo, Jona Princess & Sumayang, Mildred & Diasana, Sarah Jean & Murcia, John Vianne, 2016. "Capital Investment Decisions of Micro, Small and Medium Enterprises: The Case of Digos City," MPRA Paper 79574, University Library of Munich, Germany, revised 07 Jun 2017.
- Dehghani Mohammad H., 2014. "Policy Uncertainty and Technology Adoption," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 14(4), pages 1-26, October.
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More about this item
JEL classification:
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G31 - Financial Economics - - Corporate Finance and Governance - - - Capital Budgeting; Fixed Investment and Inventory Studies
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