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Optimal stopping made easy [An article from: Journal of Mathematical Economics]
Book Details
Author(s)S. Boyarchenko, S. Levendorskii@?
PublisherElsevier
ISBN / ASINB000PDT3GO
ISBN-13978B000PDT3G9
AvailabilityAvailable for download now
MarketplaceUnited States 🇺🇸
Description
This digital document is a journal article from Journal of Mathematical Economics, published by Elsevier in 2007. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.
Description:
This paper presents a simple discrete time model for valuing real options. A short and simple proof of optimal exercise rules for the standard problems in the real options theory is given in the binomial and trinomial models, and, more generally, when the underlying uncertainty is modelled as a random walk on a lattice. The method of the paper is based on the use of the expected present value operators. With straightforward modifications, the method works in discrete time-continuous space, continuous time-continuous space and continuous time-discrete space models.
Description:
This paper presents a simple discrete time model for valuing real options. A short and simple proof of optimal exercise rules for the standard problems in the real options theory is given in the binomial and trinomial models, and, more generally, when the underlying uncertainty is modelled as a random walk on a lattice. The method of the paper is based on the use of the expected present value operators. With straightforward modifications, the method works in discrete time-continuous space, continuous time-continuous space and continuous time-discrete space models.
