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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 to switch from the present market to a new market. We construct a subgame perfect equilibrium in mixed strategies and show that both preemption and attrition can occur along...
Persistent link: https://www.econbiz.de/10011284232
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Non-cooperative stochastic differential game theory of generalized Markov linear jump systems
Zhang, Cheng-ke; Zhu, Huai-nian; Zhou, Hai-ying; Bin, Ning - 2017
Persistent link: https://www.econbiz.de/10011544514
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Log-linear dynamics and local potential
Okada, Daijiro; Tercieux, Olivier - 2008
We show that local potential maximizer (\cite{morris+05}) with constant weights is stochastically stable in the log-linear dynamics provided that the payoff function or the associated local potential function is supermodular. We illustrate and discuss, through a series of examples, the use of...
Persistent link: https://www.econbiz.de/10003894726
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A model of chapter 11 bankruptcy reorganization and contingent claims corporate bond pricing
Robinson, Susanne Walzer - 1994
Persistent link: https://www.econbiz.de/10000941661
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Strategic analysis of contingent claims
Anderson, Ronald W. - In: European economic review : EER 40 (1996) 3, pp. 871-881
Persistent link: https://www.econbiz.de/10001205200
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On the valuation of corporate debt contracts and capital structure
Tychon, Pierre - 1997
Persistent link: https://www.econbiz.de/10013265467
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Partial differential equations in economics and finance
Basov, Suran - 2007
Partial differential equations -- Elements of the theory of the Stochastic processes -- Partial differential equation … in the consumer theory -- Partial differential equations in the producer theory -- Partial differential equations and … pricing of the financial -- Derivatives -- A theory of boundedly rational behavior -- Partial differential equations in game …
Persistent link: https://www.econbiz.de/10003429606
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The Dynkin game with regime switching and applications to pricing game options
Lv, Siyu; Wu, Zhen; Zhang, Qing - In: Risk management decisions and value under uncertainty, (pp. 1159-1182). 2022
Persistent link: https://www.econbiz.de/10013342097
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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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Euler-Lagrange equations of stochastic differential games : application to a game of a productive asset
Josa-Fombellida, Ricardo; Rincón-Zapatero, Juan Pablo - In: Economic theory : official journal of the Society for … 59 (2015) 1, pp. 61-108
Persistent link: https://www.econbiz.de/10011374029