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.
2022
New trends in the applications of differential equations in sciences
1
11
Rossella Agliardi (2022). On optimal stopping problems arising in real option theory. Melville, NY : AIP Publishing [10.1063/5.0087106].
Rossella Agliardi
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/915269
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