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Irreversible Decisions Under Uncertainty: Optimal Stopping Made Easy

Irreversible Decisions Under Uncertainty: Optimal Stopping Made Easy

Paperback

Series: Studies in Economic Theory, Book 27

EconomicsInvesting & FinanceGeneral Mathematics

ISBN10: 3642092934
ISBN13: 9783642092930
Publisher: Springer Nature
Published: Nov 30 2010
Pages: 285
Weight: 0.94
Height: 0.64 Width: 6.14 Depth: 9.21
Language: English
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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