Timing in the presence of directional predictability : optimal stopping of skew Brownian motion
Luis H.R. Alvarez, Paavo Salminen
| Year of publication: |
October 2017
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|---|---|
| Authors: | Alvarez, Luis H. R. ; Salminen, Paavo |
| Published in: |
Mathematical methods of operations research. - Berlin : Springer, ISSN 1432-2994, ZDB-ID 1310695-8. - Vol. 86.2017, 2, p. 377-400
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| Subject: | Skew Brownian motion | Optimal stopping | Excessive funciton | Irreversible investment | Martin representation | Suchtheorie | Search theory | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00186-017-0602-4 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011780987