rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Irreversible Decisions under Uncertainty
    sub title: Optimal Stopping Made Easy
  name:
    name part: Boyarchenko, Svetlana.
    role:
      role term: creator
    role:
      role term: author.
  name:
    name part: Levendorskii, Sergei.
    role:
      role term: author.
  name:
    name part: SpringerLink (Online service)
  type of resource: text
  origin info:
    place:
      place term: gw
    date issued: 2007
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: electronic
    form: electronic resource
    reformatting quality: access
    form: remote
    extent: XVI, 285 p. online resource.
  abstract: 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 stopping problem. In this book, the authors present an alternative approach to optimal stopping problems. The basic ideas and techniques of the approach can be explained much simpler than the standard methods in the literature on optimal stopping problems. The monograph will teach the reader to apply the technique to many problems in economics and finance, including new ones. From the technical point of view, the method can be characterized as option pricing via the Wiener-Hopf factorization.
  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.
  note: by Svetlana Boyarchenko, Sergei Levendorskii.
  subject:
    topic: Finance
  subject:
    topic: Game theory
  subject:
    topic: Economic theory
  subject:
    topic: Economics
  subject:
    topic: Economic Theory/Quantitative Economics/Mathematical Methods
  subject:
    topic: Finance, general
  subject:
    topic: Game Theory, Economics, Social and Behav. Sciences
  classification: HB1-846.8
  classification: 330.1
  related item:
    title info:
      title: Springer eBooks
  related item:
    title info:
      title: Studies in Economic Theory, 27
  identifier: 9783540737469
  identifier: http://dx.doi.org/10.1007/978-3-540-73746-9
  record info:
    record creation date: 100301
    record change date: 20151204145126.0
    record identifier: 978-3-540-73746-9