This articles surveys results and open questions regarding the applications of optimal stopping theory to real option analysis. The main focus is on the issue of obtaining explicit solutions for the related free-boundary problems. Section 3 surveys the main results in the field and in Section 4 we derive a new expression for the value function in the two-dimensional case.
Rossella Agliardi (2022). On optimal stopping problems arising in real option theory. Melville, NY : AIP Publishing [10.1063/5.0087106].
On optimal stopping problems arising in real option theory
Rossella Agliardi
2022
Abstract
This articles surveys results and open questions regarding the applications of optimal stopping theory to real option analysis. The main focus is on the issue of obtaining explicit solutions for the related free-boundary problems. Section 3 surveys the main results in the field and in Section 4 we derive a new expression for the value function in the two-dimensional case.File in questo prodotto:
Eventuali allegati, non sono esposti
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
