Irreversible Decisions under Uncertainty : Optimal Stopping Made Easy

by Svetlana Boyarchenko, Sergei Levendorskii

Here, two highly experienced authors present an alternative approach to optimal stopping problems. The basic ideas and techniques of the approach can be explained much simpler than the standard methods in the literature on optimal stopping problems. The monograph will teach the reader to apply the technique to many problems in economics and finance, including new ones. From the technical point of view, the method can be characterized as option pricing via the Wiener-Hopf factorization.

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Year of publication:	2007
Other Persons:	Bojarčenko, Svetlana I. (contributor) ; Levendorskij, Sergej Z. (contributor)
Publisher:	Berlin, Heidelberg : Springer-Verlag Berlin Heidelberg
Subject:	Entscheidung unter Unsicherheit \| Decision under uncertainty \| Realoptionsansatz \| Real options analysis \| Suchtheorie \| Search theory \| Zeitökonomie \| Economy of time \| Theorie \| Theory \| Entscheidung bei Unsicherheit \| Stochastischer Prozess \| Optimales Stoppen
Description of contents:	Table of Contents [swbplus.bsz-bw.de] ; Table of Contents [gbv.de] ; Description [swbplus.bsz-bw.de] ; Description [zbmath.org]

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Extent:	Online-Ressource (XVI, 285 p. 15 illus, digital)
Series:	Studies in Economic Theory ; 27 SpringerLink / Bücher
Type of publication:	Book / Working Paper
Language:	English
Notes:	Literaturverz. S. 279 - 282 CONTENTS; Part I Discrete time - discrete space models. Finite time horizon; 1 Introduction; 2 Real options and American options; 3 Risk-neutral pricing. Finite time horizon case; Part II Discrete time - discrete space models. Infinite time horizon; 4 Random walks on Z; 5 Options in the binomial and trinomial models; 6 General random walks on Z: Option pricing; Part III Discrete time - continuous space models; 7 Random walks on R; 8 Basic options in the model (7.5); 9 Optimal stopping for general random walks; Part IV Continuous time - continuous space models; 10 Brownian motion case 11 General Lévy processes12 Embedded options; Part V Extensions; 13 American options with finite time horizon; 14 Perpetual American and real options under Ornstein- Uhlenbeck processes; References; Index
ISBN:	978-3-540-73746-9 ; 978-3-540-73745-2
Other identifiers:	10.1007/978-3-540-73746-9 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013520707