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Optimal time to invest when the price processes are geometric Brownian motions

Citations

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Cited by:

  1. 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.
  2. Dammann, Felix & Ferrari, Giorgio, 2021. "On an Irreversible Investment Problem with Two-Factor Uncertainty," Center for Mathematical Economics Working Papers 646, Center for Mathematical Economics, Bielefeld University.
  3. 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.
  4. Compernolle, Tine & Kort, Peter M. & Thijssen, Jacco J.J., 2022. "The effectiveness of carbon pricing: The role of diversification in a firm’s investment decision," Energy Economics, Elsevier, vol. 112(C).
  5. Min Dai & Zuo Quan Xu, 2009. "Optimal Redeeming Strategy of Stock Loans," Papers 0906.0702, arXiv.org.
  6. Jean-Paul Décamps & Thomas Mariotti & Stéphane Villeneuve, 2005. "Investment Timing Under Incomplete Information," Mathematics of Operations Research, INFORMS, vol. 30(2), pages 472-500, May.
  7. 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.
  8. Luis H. R. Alvarez & Erkki Koskela, 2002. "Irreversible Investment under Interest Rate Variability: New Results," CESifo Working Paper Series 640, CESifo.
  9. H. Dharma Kwon & Steven A. Lippman, 2019. "Acquisition of Project-Specific Assets with Bayesian Updating," Papers 1901.04120, arXiv.org.
  10. Federico, Salvatore & Ferrari, Giorgio & Rosestolato, Mauro, 2025. "Partial regularity of semiconvex viscosity supersolutions to fully nonlinear elliptic HJB equations and applications to stochastic control," Center for Mathematical Economics Working Papers 744, Center for Mathematical Economics, Bielefeld University.
  11. Wilko Rohlfs & Reinhard Madlener, 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).
  12. Makasu, Cloud, 2008. "On mean exit time from a curvilinear domain," Statistics & Probability Letters, Elsevier, vol. 78(17), pages 2859-2863, December.
  13. 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.
  14. 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.
  15. Chutian Ma & Giacinto Paolo Saggese & Paul Smith, 2025. "The effect of latency on optimal order execution policy," Papers 2504.00846, arXiv.org, revised Apr 2025.
  16. 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.
  17. Armerin, Fredrik, 2024. "A Comment on “The effectiveness of carbon pricing: The role of diversification in a firm’s investment decision”," Energy Economics, Elsevier, vol. 132(C).
  18. Michele Moretto & Gianpaolo Rossini, 2008. "Vertical Integration and Operational Flexibility," Working Papers 2008.37, Fondazione Eni Enrico Mattei.
  19. 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.
  20. H. Dharma Kwon & Steven A. Lippman, 2011. "Acquisition of Project-Specific Assets with Bayesian Updating," Operations Research, INFORMS, vol. 59(5), pages 1119-1130, October.
  21. 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.
  22. Christensen, Sören & Irle, Albrecht, 2020. "The monotone case approach for the solution of certain multidimensional optimal stopping problems," Stochastic Processes and their Applications, Elsevier, vol. 130(4), pages 1972-1993.
  23. 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).
  24. Soren Christensen & Luis H. R. Alvarez E, 2019. "A Solvable Two-dimensional Optimal Stopping Problem in the Presence of Ambiguity," Papers 1905.05429, arXiv.org.
  25. 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".
  26. 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.
  27. Ruyi Liu & Jingzhi Tie & Zhen Wu & Qing Zhang, 2023. "Pairs Trading: An Optimal Selling Rule with Constraints," Papers 2307.15300, arXiv.org.
  28. 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.
  29. Huang, Wenli & Liu, Bo & Wang, Hongli & Yang, Jinqiang, 2019. "Dynamic optimal investment policy under incomplete information," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
  30. Felix Dammann & Giorgio Ferrari, 2021. "On an Irreversible Investment Problem with Two-Factor Uncertainty," Papers 2103.08258, arXiv.org, revised Jul 2021.
  31. GAHUNGU, Joachim & SMEERS, Yves, 2011. "Optimal time to invest when the price processes are geometric Brownian motions. A tentative based on smooth fit," LIDAM Discussion Papers CORE 2011034, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  32. Tine Compernolle & Kuno J. M. Huisman & Peter M. Kort & Maria Lavrutich & Cláudia Nunes & Jacco J. J. Thijssen, 2021. "Investment Decisions with Two-Factor Uncertainty," JRFM, MDPI, vol. 14(11), pages 1-17, November.
  33. Jona Hampe & Reinhard Madlener, 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).
  34. Vadim Arkin & Alexander Slastnikov, 2007. "The effect of depreciation allowances on the timing of investment and government tax revenue," Annals of Operations Research, Springer, vol. 151(1), pages 307-323, April.
  35. Christensen, Sören & Crocce, Fabián & Mordecki, Ernesto & Salminen, Paavo, 2019. "On optimal stopping of multidimensional diffusions," Stochastic Processes and their Applications, Elsevier, vol. 129(7), pages 2561-2581.
  36. Jingzhi Tie & Hanqin Zhang & Qing Zhang, 2018. "An Optimal Strategy for Pairs Trading Under Geometric Brownian Motions," Journal of Optimization Theory and Applications, Springer, vol. 179(2), pages 654-675, November.
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