Svetlana Boyarchenko,
Sergei Levendorskii
Springer Berlin Heidelberg
0e druk, 2010
9783642092930
Irreversible Decisions under Uncertainty
Optimal Stopping Made Easy
Specificaties
Paperback, 285 blz.
|
Engels
Springer Berlin Heidelberg |
0e druk, 2010
ISBN13: 9783642092930
Rubricering
Onderdeel van serie
Studies in Economic Theory
Levertijd ongeveer 8 werkdagen
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
ISBN13:9783642092930
Taal:Engels
Bindwijze:paperback
Aantal pagina's:285
Uitgever:Springer Berlin Heidelberg
Hoofdrubriek:Economie
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.
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