Irreversible Decisions under Uncertainty Optimal Stopping Made Easy

Irreversible Decisions under Uncertainty Optimal Stopping Made Easy / by Svetlana Boyarchenko, Sergei Levendorskii.

In real life, as well as in economic models, individuals often make decisions in an uncertain environment. 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 sto...

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Bibliographic Details
Main Authors: Boyarchenko, Svetlana (Author), Levendorskii, Sergei (Author)
Corporate Author: SpringerLink (Online service)
Format: eBook
Language:English
Published: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2007.
Edition:1st ed. 2007.
Series:Studies in Economic Theory, 27
Springer eBook Collection.
Subjects:
Economic theory.
Finance.
Game theory.
Electronic resources (E-books)
Online Access:Click to view e-book
Holy Cross Note:Loaded electronically.
Electronic access restricted to members of the Holy Cross Community.
Table of Contents:
  • 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.

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