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Quick or persistent? : strategic investment demanding versatility
Steg, Jan-Henrik; Thijssen, Jacco J. J. - 2015
In this paper we analyse a dynamic model of investment under uncertainty in a duopoly, in which each firm has an option …. A simulation-based numerical example illustrates the model and shows the relative likelihoods of investment taking place …
Persistent link: https://www.econbiz.de/10011284232
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Optimal entry to an irreversible investment plan with non convex costs
De Angelis, Tiziano; Ferrari, Giorgio; Martyr, Randall; … - 2016
considered one of irreversible investment with a cost functional which is non convex with respect to the control variable. In … this paper we study the optimal entry into this investment plan. The optimal entry policy can have an irregular boundary …
Persistent link: https://www.econbiz.de/10011517478
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Optimal entry to an irreversible investment plan with non convex costs
De Angelis, Tiziano; Ferrari, Giorgio; Martyr, Randall; … - In: Mathematics and financial economics 11 (2017) 4, pp. 423-454
Persistent link: https://www.econbiz.de/10011900577
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Real options, intellectual property, R&D, geometric Brownian motion, Stackelberg games
Breccia, Adriana - 2019
Persistent link: https://www.econbiz.de/10011988095
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Pricings and hedgings of the perpetual Russian options
Li, Weiping; Chen, Su - In: Journal of financial engineering 1 (2014) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10010508090
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The barrier binary options
Gao, Min; Wei, Zhenfeng - In: Journal of mathematical finance 10 (2020) 1, pp. 140-156
Persistent link: https://www.econbiz.de/10012545572
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Optimal stopping and utility in a simple modelof unemployment insurance
Anquandah, Jason S.; Bogachev, Leonid V. - In: Risks : open access journal 7 (2019) 3/94, pp. 1-41
Managing unemployment is one of the key issues in social policies. Unemployment insurance schemes are designed to cushion the financial and morale blow of loss of job but also to encourage the unemployed to seek new jobs more proactively due to the continuous reduction of benefit payments. In...
Persistent link: https://www.econbiz.de/10012126434
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Optimal timing of investments modeled as perpetual American options in a Levy market
Adinya, Ini; Ekhaguere, G. O. S. - In: International journal of financial engineering 9 (2022) 1, pp. 1-27
Persistent link: https://www.econbiz.de/10013188768
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Game Russian options for double exponential jump diffusion processes
Suzuki, Atsuo; Sawaki, Katsushige - In: Journal of mathematical finance 4 (2014) 1, pp. 47-54
Persistent link: https://www.econbiz.de/10010422891
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Spline cubatures for expectations of diffusion processes and optimal stopping in higher dimensions : (with computational finance in view)
Lyasoff, Andrew - In: Mathematical control theory and finance, (pp. 265-291). 2008
Persistent link: https://www.econbiz.de/10003755614