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The optimal stopping problem revisited

  • Manuel Guerra
  • Cláudia Nunes
  • Carlos OliveiraEmail author
Regular Article
  • 25 Downloads

Abstract

We consider an optimal stopping time problem, related with many models found in real options problems. We present analytical solutions for a broad class of gain functions, considering quite general assumptions over the model. Also, an extensive and general sensitivity analysis is provided.

Keywords

Optimal Stopping Exit Option Investment Option Replacement Option 

Mathematics Subject Classification

60G40 90B50 

Notes

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Copyright information

© Springer-Verlag GmbH Germany, part of Springer Nature 2019

Authors and Affiliations

  1. 1.CEMAPRE, ISEG - School of Economics and ManagementUniversidade de LisboaLisbonPortugal
  2. 2.Department of Mathematics and CEMAT, Instituto Superior TécnicoUniversidade de LisboaLisbonPortugal
  3. 3.ISEG - School of Economics and ManagementUniversidade de LisboaLisbonPortugal

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