Irreversible Decisions under Uncertainty Optimal Stopping Made Easy /

• Κύριοι συγγραφείς: Boyarchenko, Svetlana (Συγγραφέας), Levendorskii, Sergei (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Berlin, Heidelberg : Springer Berlin Heidelberg, 2007.
• Σειρά: Studies in Economic Theory, 27
• Θέματα: Finance.; Game theory.; Economic theory.; Economics.; Economic Theory/Quantitative Economics/Mathematical Methods.; Finance, general.; Game Theory, Economics, Social and Behav. Sciences.

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...

Πίνακας περιεχομένων:

• 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.