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On dynamic Knightian uncertainty models : time-consistency and optimal behavior

Bier, Monika - 2010

Persistent link: https://www.econbiz.de/10009152069

Optimal stopping with dynamic variational preferences

Engelage, Daniel - 2009

variational preferences as in [15] or, equivalently, assessing risk by dynamic convex risk measures as in [4]. The solutionis … theory. To illustrate results, we consider prominent examples: dynamic entropic risk measures and a dynamic version of … Convex Risk Measures ; Dynamic Penalty ; Time-Consistency ; Entropic Risk ; Average Value at Risk …

Persistent link: https://www.econbiz.de/10003878489

Fear of the market or fear of the competitor? : ambiguity in a real options game

Hellmann, Tobias; Thijssen, Jacco J. J. - In: Operations research 66 (2018) 6, pp. 1744-1759

Persistent link: https://www.econbiz.de/10011972267

On an irreversible investment problem with two-factor uncertainty

Dammann, Felix; Ferrari, Giorgio - 2021

We consider a real options model for the optimal irreversible investment problem of a profit maximizing company. The company has the opportunity to invest into a production plant capable of producing two products, of which the prices follow two independent geometric Brownian motions. After...

Persistent link: https://www.econbiz.de/10012488060

Dynamically consistent investment under model uncertainty : the robust forward criteria

Källblad, Sigrid; Obłój, Jan; … - In: Finance and stochastics 22 (2018) 4, pp. 879-918

Persistent link: https://www.econbiz.de/10011946570

Game options under Knightian uncertainty in discrete time

Rubbenstroth, Bodo - 2019

This paper studies two player stopping games in a discrete time multiple prior framework with a finite time horizon. Optimal stopping times as well as recursive formulas for the value processes of the games are derived. These results are used to characterize the set of no-arbitrage prices for a...

Persistent link: https://www.econbiz.de/10012016141