Irreversible Decisions under Uncertainty : Optimal Stopping Made Easy
Softcover reprint of hardcover 1st ed. 2007
Book Details
Format
Paperback / Softback
Book Series
Studies in Economic Theory
ISBN-10
3642092934
ISBN-13
9783642092930
Edition
Softcover reprint of hardcover 1st ed. 2007
Publisher
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Imprint
Springer-Verlag Berlin and Heidelberg GmbH & Co. K
Country of Manufacture
DE
Country of Publication
GB
Publication Date
Nov 30th, 2010
Print length
285 Pages
Ksh 23,400.00
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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.
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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