Irreversible Decisions under Uncertainty

Optimal Stopping Made Easy

Gebonden Engels 2007 2007e druk 9783540737452

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Samenvatting

Here, two highly experienced 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.

Specificaties

ISBN13:9783540737452

Taal:Engels

Bindwijze:gebonden

Aantal pagina's:285

Uitgever:Springer Berlin Heidelberg

Druk:2007

Hoofdrubriek:Economie, Economie

Serie:Studies in Economic Theory

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Inhoudsopgave

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.