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Irreversible decisions under uncertainty : optimal stopping made easy

Author: Svetlana I Boyarchenko; Serge Levendorskiĭ
Publisher: Berlin : Springer, ©2007.
Series: Studies in economic theory, 27.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:
"In real life, as well as in economic models, individuals often make decisions in an uncertain environment. 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. In this book, the authors present an alternative approach to optimal stopping problems. This monograph  Read more...
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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Svetlana I Boyarchenko; Serge Levendorskiĭ
ISBN: 9783540737452 3540737456 3642092934 9783642092930
OCLC Number: 166372535
Description: xvi, 285 pages : illustrations ; 24 cm.
Contents: pt. I. Discrete time --
discrete space models: Finite time horizon --
1. Introduction --
2. Real options and American options --
3. Risk-neutral pricing. Finite time horizon case --
pt. II. Discrete time --
discrete space models: Infinite time horizon --
4. Random walks on Z --
5. Options in the binomial and trinomial models 59 --
6. General random walks on Z: Option pricing --
pt. III. Discrete time --
continuous space models --
7. Random walks on R --
8. Basic options in the model (7.5) --
9. Optimal stopping for general random walks --
pt. IV. Continuous time --
continuous space models --
10. Brownian motion case --
11. General Levy processes --
12. Embedded options --
pt. V. Extensions.
Series Title: Studies in economic theory, 27.
Responsibility: Svetlana Boyarchenko, Sergei Levendorskiĭ.

Abstract:

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  Read more...

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From the reviews:"In this book an alternative approach to optimal stopping problems is presented. Its basic ideas and techniques are demonstrated on a much simpler level ... . Necessary notations and Read more...

 
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