Irreversible Decisions under Uncertainty

Optimal Stopping Made Easy

Häftad, Engelska, 2010

AvSvetlana Boyarchenko,Sergei Levendorskii

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In many cases, a problem which an optimizing agent faces can be formulated or reformulated as a problem of optimal timing of a certain irreversible or partially reversible action or optimal stopping problem.

Produktinformation

Utgivningsdatum2010-11-30
Mått155 x 235 x 17 mm
Vikt464 g
FormatHäftad
SpråkEngelska
SerieStudies in Economic Theory
Antal sidor285
FörlagSpringer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN9783642092930

Tillhör följande kategorier

Finansiering inom Ekonomi och Ledarskap
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Optimering inom Naturvetenskap och teknik

Discrete time — discrete space models. Finite time horizon.- Real options and American options.- Risk-neutral pricing. Finite time horizon case.- Discrete time — discrete space models. Infinite time horizon.- Random walks on ?.- Options in the binomial and trinomial models.- General random walks on ?: Option pricing.- Discrete time — continuous space models.- Random walks on ?.- Basic options in the model (7.5).- Optimal stopping for general random walks.- Continuous time - continuous space models.- Brownian motion case.- General Lévy processes.- Embedded options.- Extensions.- American options with finite time horizon.- Perpetual American and real options under Ornstein-Uhlenbeck processes.

From the reviews: "In this book an alternative approach to optimal stopping problems is presented. Its basic ideas and techniques are demonstrated on a much simpler level ... . Necessary notations and results of the theory of stochastic processes are introduced in a piece meal basis when they are needed. Certainly, the reading of the book is easier for readers ... . The first three parts of the book can be used as an introductory course, and the rest of the book for an advanced course." (Klaus Ehemann, Zentralblatt MATH, Vol. 1131 (9), 2008)