Irreversible Decisions Under Uncertainty: Optimal Stopping Made Easy

By Sergei Levendorskii and Svetlana Boyarchenko

Discrete time - discrete space models. Finite time horizon.- Real options and American options.- Risk-neutral pricing. Finite time horizon case.- Discrete time - discrete space models. Infinite time horizon.- Random walks on ?.- Options in the binomial and trinomial models.- General random walks on ?: Option pricing.- Discrete time - continuous space models.- Random walks on ?.- Basic options in the model (7.5).- Optimal stopping for general random walks.- Continuous time - continuous space models.- Brownian motion case.- General L vy processes.- Embedded options.- Extensions.- American options with finite time horizon.- Perpetual American and real options under Ornstein-Uhlenbeck processes.

• Format: Paperback
• Language: English
• ISBN: 3642092934
• ISBN13: 9783642092930
• Release Date: November 2010
• Publisher: Springer
• Length: 285 Pages
• Weight: 0.94 lbs.
• Dimensions: 0.6" x 6.1" x 9.2"