Similar Search Results

Optimal Stopping Under Ambiguity in Continuous Time

Cheng, Xue; Riedel, Frank - Institut für Mathematische Wirtschaftsforschung, … - 2010

We develop a theory of optimal stopping problems under ambiguity in continuous time. Using results from (backward) stochastic calculus, we characterize the value function as the smallest (nonlinear) supermartingale dominating the payoff process. For Markovian models, we derive an adjusted...

Persistent link: https://www.econbiz.de/10008498363

Exercise Strategies for American Exotic Options under Ambiguity

Chudjakow, Tatjana; Vorbrink, Jörg - Institut für Mathematische Wirtschaftsforschung, … - 2009

We analyze several exotic options of American style in a multiple prior setting and study the optimal exercise strategy from the perspective of an ambiguity averse buyer in a discrete time model of Cox–Ross–Rubinstein style. The multiple prior model relaxes the assumption of a known...

Persistent link: https://www.econbiz.de/10008528580

A theory of endogenous time preference, and discounted utility anomalies

Boyarchenko, Svetlana; Levendorskii, Sergei - EconWPA - 2005

function and underlying uncertainty. We provide analytic expressions and numerical examples for discount factors assuming … simple utility functions and gaussian uncertainty. …

Persistent link: https://www.econbiz.de/10005135046

Optimal stopping under ambiguity

Riedel, Frank - Institut für Mathematische Wirtschaftsforschung, … - 2007

We consider optimal stopping problems for ambiguity averse decision makers with multiple priors. In general, backward induction fails. If, however, the class of priors is time-consistent, we establish a generalization of the classical theory of optimal stopping. To this end, we develop first...

Persistent link: https://www.econbiz.de/10005687745

Knightian Uncertainty, k-Ignorance, and Optimal Timing

Alvarez, Luis H. R. - Turun Kauppakorkeakoulu, Turun Yliopisto - 2007

We investigate within a continuous time setting how Knightian uncertainty characterized by k-ignorance affects the … optimal timing policies of a risk-neutral and uncertainty averse investor in the case where the exercise payoff is monotonic …. We prove that increased Knightian uncertainty unambiguously decreases the value of the optimal timing policy of an …

Persistent link: https://www.econbiz.de/10005537242

Discounting and Patience in Optimal Stopping and Control Problems

Quah, John K. -H; Strulovici, Bruno - Center for Mathematical Studies in Economics and … - 2009

This paper establishes that the optimal stopping time of virtually any optimal stopping problem is increasing in "patience," understood as a particular partial order on discount rate functions. With Markov dynamics, the result holds in a continuation- domain sense even if stopping is combined...

Persistent link: https://www.econbiz.de/10008578134

Discounting, Patience, and Dynamic Decision Making

Quah, John; Strulovici, Bruno - Department of Economics, Oxford University - 2011

Whether they are financial, economic, or psychological, discount rates affect most economic decisions: investment and savings, hirings and firings, defaults and refinancing, financial and economic reforms, learning and experimentation, and any other decision with long-term consequences, such as...

Persistent link: https://www.econbiz.de/10009144004

Optimal stopping in Levy models, for non-monotone discontinuous payoffs

Boyarchenko, Svetlana; Levendorskii, Sergei - Volkswirtschaftliche Fakultät, … - 2010

We give short proofs of general theorems about optimal entry and exit problems in Levy models, when payoff streams may have discontinuities and be non-monotone. As applications, we consider exit and entry problems in the theory of real options, and an entry problem with an embedded option to exit.

Persistent link: https://www.econbiz.de/10008788791

An Equilibrium Model of Habitat Conservation under Uncertainty and Irreversibility

Corato, Luca Di; Moretto, Michele; Vergalli, Sergio - Dipartimento di Scienze Economiche "Marco Fanno", … - 2010

under uncertainty about the value of environmental services and irreversible development. We study land conversion under … adequate participation in a conservation plan. We analytically determine the impact of uncertainty and optimal policy …

Persistent link: https://www.econbiz.de/10008876625

An Equilibrium Model of Habitat Conservation under Uncertainty and Irreversibility

Corato, Luca Di; Moretto, Michele; Vergalli, Sergio - Fondazione ENI Enrico Mattei (FEEM) - 2010

Persistent link: https://www.econbiz.de/10008828382