Irreversible Decisions under Uncertainty Optimal Stopping Made Easy /
In real life, as well as in economic models, individuals often make decisions in an uncertain environment. In many cases, a problem which an optimizing agent faces can be formulated or reformulated as a problem of optimal timing of a certain irreversible or partially reversible action or optimal sto...
| Main Authors: | , |
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| Corporate Author: | |
| Language: | English |
| Published: |
Berlin, Heidelberg :
Springer Berlin Heidelberg : Imprint: Springer,
2007.
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| Edition: | 1st ed. 2007. |
| Series: | Studies in Economic Theory,
27 |
| Subjects: | |
| Online Access: | https://doi.org/10.1007/978-3-540-73746-9 |
Table of Contents:
- Discrete time — discrete space models. Finite time horizon
- Real options and American options
- Risk-neutral pricing. Finite time horizon case
- Discrete time — discrete space models. Infinite time horizon
- Random walks on ?
- Options in the binomial and trinomial models
- General random walks on ?: Option pricing
- Discrete time — continuous space models
- Random walks on ?
- Basic options in the model (7.5)
- Optimal stopping for general random walks
- Continuous time - continuous space models
- Brownian motion case
- General Lévy processes
- Embedded options
- Extensions
- American options with finite time horizon
- Perpetual American and real options under Ornstein-Uhlenbeck processes.