Irreversible Decisions under Uncertainty

Optimal Stopping Made Easy

  • Svetlana Boyarchenko
  • Sergei Levendorskii

Part of the Studies in Economic Theory book series (ECON.THEORY, volume 27)

Table of contents

  1. Front Matter
    Pages I-XVI
  2. Discrete time — discrete space models. Finite time horizon

  3. Discrete time — discrete space models. Infinite time horizon

  4. Discrete time — continuous space models

    1. Front Matter
      Pages 105-105
    2. Pages 107-116
  5. Continuous time - continuous space models

    1. Front Matter
      Pages 167-167
    2. Pages 169-192
    3. Pages 193-224
    4. Pages 225-249
  6. Extensions

About this book

Introduction

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. The basic ideas and techniques of the approach can be explained much simpler than the standard methods in the literature on optimal stopping problems. The monograph will teach the reader to apply the technique to many problems in economics and finance, including new ones. From the technical point of view, the method can be characterized as option pricing via the Wiener-Hopf factorization.

Keywords

American Options Finance Good and Bad News Principles Optimal Stopping Real Options Wiener-Hopf factorization agents

Authors and affiliations

  • Svetlana Boyarchenko
    • 1
  • Sergei Levendorskii
    • 1
  1. 1.Department of EconomicsUniversity of Texas at AustinAustinUSA

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-540-73746-9
  • Copyright Information Springer-Verlag Berlin Heidelberg 2007
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Business and Economics
  • Print ISBN 978-3-540-73745-2
  • Online ISBN 978-3-540-73746-9
  • Series Print ISSN 1431-8849
  • About this book