Irreversible decisions under uncertainty : optimal stopping made easy
Author(s)
Bibliographic Information
Irreversible decisions under uncertainty : optimal stopping made easy
（Studies in economic theory, 27）
Springer, c2007
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Note
Includes bibliographical references (p. [279]-282) and index
Description and Table of Contents
Description
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.
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 Levy processes.- Embedded options.- Extensions.- American options with finite time horizon.- Perpetual American and real options under Ornstein-Uhlenbeck processes.
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