Optimal time to invest when the price processes are geometric Brownian motions
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Masaya Okawa & Motoh Tsujimura, 2009. "The value of a merger and its optimal timing," Applied Financial Economics, Taylor & Francis Journals, vol. 19(18), pages 1477-1485.
- Louberge, Henri & Villeneuve, Stephane & Chesney, Marc, 2002.
"Long-term risk management of nuclear waste: a real options approach,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 27(1), pages 157-180, November.
- CHESNEY, Marc & LOUBERGE, Henri & VILLENEUVE, Stéphane, 2001. "Long-term risk management of nuclear waste : a real options approach," HEC Research Papers Series 767, HEC Paris.
- Henri Loubergé & Stéphane Villeneuve & Marc Chesney, 2002. "Long-Term Risk Management of Nuclear Waste: A Real Options Approach," Working Papers hal-00594373, HAL.
- Makasu, Cloud, 2010. "A note on explicit bounds for a stopped Feynman-Kac functional," Statistics & Probability Letters, Elsevier, vol. 80(23-24), pages 1977-1979, December.
- Luis H. R. Alvarez & Erkki Koskela, 2002.
"Irreversible Investment under Interest Rate Variability: New Results,"
CESifo Working Paper Series
640, CESifo Group Munich.
- Alvarez, Luis H. R. & Koskela, Erkki, 2003. "Irreversible investment under interest rate variability : new results," Research Discussion Papers 29/2003, Bank of Finland.
- Luis H.R. Alvarez & Erkki Koskela, 2004. "Irreversible investment under interest rate variability: new results," Others 0404007, University Library of Munich, Germany.
- repec:spr:joptap:v::y::i::d:10.1007_s10957-017-1065-8 is not listed on IDEAS
- Rohlfs, Wilko & Madlener, Reinhard, 2010. "Valuation of CCS-Ready Coal-Fired Power Plants: A Multi-Dimensional Real Options Approach," FCN Working Papers 7/2010, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN).
- Makasu, Cloud, 2008. "On mean exit time from a curvilinear domain," Statistics & Probability Letters, Elsevier, vol. 78(17), pages 2859-2863, December.
- Luis H.R. Alvarez & Jukka Lempa & Elias Oikarinen, 2009. "Do Standard Real Option Models Overestimate the Required Rate of Return of Real Estate Investment Opportunities?," Discussion Papers 52, Aboa Centre for Economics.
- Décamps, Jean-Paul & Mariotti, Thomas & Villeneuve, Stéphane, 2000.
"Investment Timing under Incomplete Information,"
IDEI Working Papers
115, Institut d'Économie Industrielle (IDEI), Toulouse, revised Apr 2004.
- Décamps, Jean-Paul & Mariotti, Thomas & Villeneuve, Stephane, 2003. "Investment timing under incomplete information," LSE Research Online Documents on Economics 19325, London School of Economics and Political Science, LSE Library.
- Jean-Paul Decamps & Thomas Mariotti & Stephane Villeneuve, 2003. "Investment Timing under Incomplete Information," STICERD - Theoretical Economics Paper Series 444, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Arkin Vadim & Arkina Svetlana & Slastnikov Alexander, 2003. "Investment Stimulation by a Depreciation Mechanism," EERC Working Paper Series 02-05e, EERC Research Network, Russia and CIS.
- Thijssen, Jacco J.J., 2008. "Optimal and strategic timing of mergers and acquisitions motivated by synergies and risk diversification," Journal of Economic Dynamics and Control, Elsevier, vol. 32(5), pages 1701-1720, May.
- Аркин В.И. & Сластников А.Д., 2014. "Моделирование Механизма Государственных Гарантий И Кредитной Политики Банка При Инвестировании Рискованных Проектов," Журнал Экономика и математические методы (ЭММ), Центральный Экономико-Математический Институт (ЦЭМИ), vol. 50(3), pages 105-118, июль.
- GAHUNGU, Joachim & SMEERS, Yves, 2011. "Sufficient and necessary conditions for perpetual multi-assets exchange options," CORE Discussion Papers 2011035, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Chiara D'Alpaos & Marina Bertolini & Michele Moretto, 2016. "Do Smart Grids Boost Investment in Photovoltaics? The Prosumer Investment Decision," "Marco Fanno" Working Papers 0203, Dipartimento di Scienze Economiche "Marco Fanno".
- Hong Liu & Jianjun Miao, 2006. "Managerial Preferences, Corporate Governance, and Financial Structure," Boston University - Department of Economics - Working Papers Series WP2006-020, Boston University - Department of Economics.
- Luis H. R. Alvarez & Erkki Koskela, 2006.
"Irreversible Investment under Interest Rate Variability: Some Generalizations,"
The Journal of Business,
University of Chicago Press, vol. 79(2), pages 623-644, March.
- Alvarez, Luis H.R. & Koskela, Erkki, 2003. "Irreversible Investment under Interest Rate Variability: Some Generalizations," Discussion Papers 841, The Research Institute of the Finnish Economy.
- GAHUNGU, Joachim & SMEERS, Yves, 2011. "Optimal time to invest when the price processes are geometric Brownian motions. A tentative based on smooth fit," CORE Discussion Papers 2011034, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Hampe, Jona & Madlener, Reinhard, 2012. "Economics of High-Temperature Nuclear Reactors for Industrial Cogeneration," FCN Working Papers 10/2012, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN).
More about this item
KeywordsGeometric Brownian motion; optimal stopping time; continuation region; stopping set;
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:finsto:v:2:y:1998:i:3:p:295-310. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla) or (Rebekah McClure). General contact details of provider: http://www.springer.com .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
We have no references for this item. You can help adding them by using this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.