Optimal stopping made easy
Download full text from publisher
Other versions of this item:
References listed on IDEAS
- Svetlana Boyarchenko & Sergei Levendorskii, 2004. "Real options and the universal bad news principle," Levine's Bibliography 122247000000000430, UCLA Department of Economics.
- Svetlana Boyarchenko & Sergei Levendorskii, 2005. "American options: the EPV pricing model," Annals of Finance, Springer, vol. 1(3), pages 267-292, August.
- Boyarchenko Svetlana & Levendorskii Sergei Z, 2006.
"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.
- Svetlana Boyarchenko & Sergei Levendorskii, 2005. "General option exercise rules, with applications to embedded options and monopolistic expansion," Finance 0511001, EconWPA.
- Svetlana Boyarchenko & Sergei Levendorskii, 2006. "General option exercise rules, with applications to embedded options and monopolistic expansion," 2006 Meeting Papers 312, Society for Economic Dynamics.
- S. I. Boyarchenko & S. Z. Levendorskii, 2002. "Pricing of perpetual Bermudan options," Quantitative Finance, Taylor & Francis Journals, vol. 2(6), pages 432-442.
- Svetlana Boyarchenko & Sergei Levendorski&icaron;, 2007.
"Practical Guide To Real Options In Discrete Time,"
International Economic Review,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 48(1), pages 311-342, February.
- Sergey Levendorskiy & Svetlana Boyarchenko, 2004. "Practical guide to real options in discrete time," Computing in Economics and Finance 2004 137, Society for Computational Economics.
- Svetlana Boyarchenko & Sergei Levendorskii, 2004. "Practical guide to real options in discrete time," Papers cond-mat/0404106, arXiv.org.
- Svetlana Boyarchenko & Sergei Levendorskii, 2004. "Practical guide to real options in discrete time," Finance 0405016, EconWPA.
- Bianca Hilberink & L.C.G. Rogers, 2002. "Optimal capital structure and endogenous default," Finance and Stochastics, Springer, vol. 6(2), pages 237-263.
- Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters,in: Theory Of Valuation, chapter 8, pages 229-288 World Scientific Publishing Co. Pte. Ltd..
- Svetlana Boyarchenko, 2004. "Irreversible Decisions and Record-Setting News Principles," American Economic Review, American Economic Association, vol. 94(3), pages 557-568, June.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
- Ben S. Bernanke, 1983. "Irreversibility, Uncertainty, and Cyclical Investment," The Quarterly Journal of Economics, Oxford University Press, vol. 98(1), pages 85-106.
- Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Svetlana Boyarchenko & Sergei Levendorskii, 2005. "A theory of endogenous time preference, and discounted utility anomalies," Microeconomics 0506005, EconWPA.
- 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.
- 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.
- repec:spr:compst:v:69:y:2009:i:1:p:27-58 is not listed on IDEAS
- Svetlana Boyarchenko & Sergei Levendorskii, 2005. "Discount factors ex post and ex ante, and discounted utility anomalies," Microeconomics 0510013, EconWPA, revised 13 Dec 2005.
- 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.
- Othón M. Moreno, 2014. "Consumption of Durable Goods under Ambiguity," Working Papers 2014-02, Banco de México.
- 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, 2012. "Mixed Hitting‐Time Models," Econometrica, Econometric Society, vol. 80(2), pages 783-819, March.
- 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).
- Luis H. R. Alvarez & Teppo A. Rakkolainen, 2006.
"A Class of Solvable Optimal Stopping Problems of Spectrally Negative Jump Diffusions,"
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.
- 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.
More about this item
KeywordsReal options; random walks on lattices; expected present value operators;
- 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
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:wpa:wuwpfi:0410016. 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: (EconWPA). General contact details of provider: http://econwpa.repec.org .