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  • Search: subject:"OPTIMAL STOPPING PROBLEM"
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Year of publication
Subject
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optimal stopping problem 29 Search theory 23 Suchtheorie 23 Optimal stopping problem 18 Mathematical Tools 6 Optimal Stopping Problem 6 Mathematical programming 5 Mathematische Optimierung 5 Option pricing theory 5 Optionspreistheorie 5 Stochastic process 5 Stochastischer Prozess 5 addiction 5 quitting 5 real options analysis 5 smoking 5 Markov chain 4 Markov-Kette 4 compound Poisson process 4 continuous and smooth fit 4 integro-differential free-boundary problem 4 Black-Scholes model 3 Black-Scholes-Modell 3 Decision 3 Discounted optimal stopping problem 3 Dividend 3 Dynamic programming 3 Entscheidung 3 Option trading 3 Optionsgeschäft 3 Portfolio selection 3 Portfolio-Management 3 Share Market 3 controlled vs. automatic reaction 3 coping 3 maximum process 3 normal reflection 3 personality 3 stress 3 Altersgrenze 2
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Online availability
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Undetermined 29 Free 23 CC license 1
Type of publication
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Article 35 Book / Working Paper 28
Type of publication (narrower categories)
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Article in journal 19 Aufsatz in Zeitschrift 19 Graue Literatur 5 Non-commercial literature 5 Working Paper 5 Arbeitspapier 3 Preprint 2
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Language
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English 35 Undetermined 28
Author
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Gapeev, Pavel V. 8 Kohn, Wolfgang 6 Chen, Yu-Fu 5 Jeon, Junkee 5 Petrie, Dennis 5 Park, Kyunghyun 4 Miao, Jianjun 3 Wang, Neng 3 Wälde, Klaus 3 Dechenaux, Emmanuel 2 Goldfarb, Brent 2 Guo, Peijun 2 Kingston, Geoffrey H. 2 Koo, Hyeng-keun 2 Li, Yonggang 2 Shane, Scott 2 Bajari, Patrick L. 1 Belomestny, Denis 1 Bensoussan, Alain 1 Capan, Muge 1 Chang, Ming-Chi 1 Christensen, Sören 1 Chu, Chenghuan Sean 1 Corbett, Charles J. 1 DAHLGREN, MARTIN 1 Dahlgren, M. 1 David M., Ramsey 1 Décamps, Jean-Paul 1 GAPEEV, PAVEL V. 1 Gapeev, Pavel 1 Gonon, Lukas 1 Goodarzi, Shadi Hassani 1 Grandits, Peter 1 Grigorova, Miryana 1 Hoe, SingRu 1 Huddleston, Jeanne 1 Iancu, Dan Andrei 1 Ivy, Julie Simmons 1 Jeanblanc-Picqué, Monique 1 KORN, RALF 1
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Institution
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 6 Department of Economics, Boston University 3 Agricultural and Applied Economics Association - AAEA 2 Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft (ZBW) 2 Scottish Institute for Research in Economics (SIRE) 2 Department of Economics Studies, University of Dundee 1 Society for Economic Dynamics - SED 1 Stanford Institute for Economic Policy Research (SIEPR), Stanford University 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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Published in...
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SFB 649 Discussion Papers 6 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN 2 Boston University - Department of Economics - Working Papers Series 2 EconStor Preprints 2 Finance and Stochastics 2 International Journal of Theoretical and Applied Finance (IJTAF) 2 Mathematics and financial economics 2 Quantitative finance 2 SIRE Discussion Papers 2 Statistics & Risk Modeling 2 TEST: An Official Journal of the Spanish Society of Statistics and Operations Research 2 Applied mathematical finance 1 Boston University - Department of Economics - The Institute for Economic Development Working Papers Series 1 Computational Economics 1 Computational economics 1 Decision analysis : a journal of the Institute for Operations Research and the Management Sciences, INFORMS 1 Discussion Papers / Stanford Institute for Economic Policy Research (SIEPR), Stanford University 1 Discussion paper / Institut de Recherches Économiques et Sociales de l'Université Catholique de Louvain 1 Dundee Discussion Papers in Economics 1 European Journal of Operational Research 1 European journal of operational research : EJOR 1 Finance and stochastics 1 Insurance: Mathematics and Economics 1 International journal of theoretical and applied finance 1 Jena Economic Research Papers 1 Jena economics research papers 1 Journal of behavioral and experimental finance 1 Journal of economic dynamics & control 1 MPRA Paper 1 Management Science 1 Management science : journal of the Institute for Operations Research and the Management Sciences 1 Manufacturing & service operations management : M & SOM 1 Mathematical finance : an international journal of mathematics, statistics and financial theory 1 Mathematical social sciences 1 Quantitative marketing and economics : QME 1 Review of Derivatives Research 1 Review of Economic Dynamics 1 SFB 649 Discussion Paper 1 Scandinavian actuarial journal 1 Stochastic Processes and their Applications 1
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Source
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RePEc 33 ECONIS (ZBW) 24 EconStor 4 Other ZBW resources 2
Showing 51 - 60 of 63
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Online Appendix to Efficient Timing of Retirement
Kingston, Geoffrey H. - Society for Economic Dynamics - SED - 2001
Post-retirement, the model in the main text (published in the Review of Economic Dynamics) reduces to the Merton (1969) problem, which has of course an exact solution. Pre-retirement, however, the agent holds an American option, namely, retire now or keep working. Problems involving American...
Persistent link: https://www.econbiz.de/10004977902
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Bilateral Approach to the Secretary Problem
David M., Ramsey; Krzysztof, Szajowski - Volkswirtschaftliche Fakultät, … - 2000
A mathematical model of competitive selection of the applicants for a post is considered. There are N applicants of similar qualifications on an interview list. The applicants come in a random order and their salary demands are distinct. Two managers, I and II, will interview them one at a time....
Persistent link: https://www.econbiz.de/10008561146
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Appropriability and Commercialization: Evidence from MIT Inventions
Dechenaux, Emmanuel; Goldfarb, Brent; Shane, Scott; … - In: Management Science 54 (2008) 5, pp. 893-906
The effects of appropriability on invention have been well studied, but there has been little analysis of the effect of appropriability on the commercialization of existing inventions. Exploiting a database of 805 attempts by private firms to commercialize inventions licensed from the...
Persistent link: https://www.econbiz.de/10009191970
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Risk, Uncertainty, and Option Exercise
Miao, Jianjun; Wang, Neng - Department of Economics, Boston University - 2007
Many economic decisions can be described as an option exercise or optimal stopping problem under uncertainty. Motivated …
Persistent link: https://www.econbiz.de/10005443375
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Optimal dividend policy and growth option
Décamps, Jean-Paul; Villeneuve, Stéphane - In: Finance and Stochastics 11 (2007) 1, pp. 3-27
Persistent link: https://www.econbiz.de/10005390711
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Appropriability and Commercialization: Evidence from MIT Inventions
Dechenaux, Emmanuel; Goldfarb, Brent; Shane, Scott; … - Stanford Institute for Economic Policy Research … - 2006
At least since Arrow (1962), the effects of appropriability on invention have been well studied, but there has been little analysis of the effect of appropriability on the commercialization of existing inventions. Exploiting a database of 805 attempts by private firms to commercialize inventions...
Persistent link: https://www.econbiz.de/10009141760
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A Continuous Time Model to Price Commodity-Based Swing Options
Dahlgren, M. - In: Review of Derivatives Research 8 (2005) 1, pp. 27-47
On the commodity market there exist contracts which give the holder multiple opportunities to adjust delivery of the underlying commodity. These contracts are often named “Swing” or “take-or-pay” options. They are especially common on the electricity market. In this paper the price of a...
Persistent link: https://www.econbiz.de/10005542787
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Central limit theorem for the estimator of the value of an optimal stopping problem
Prieto-Rumeau, Tomás - In: TEST: An Official Journal of the Spanish Society of … 14 (2005) 1, pp. 215-237
Persistent link: https://www.econbiz.de/10005390599
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THE SWING OPTION ON THE STOCK MARKET
DAHLGREN, MARTIN; KORN, RALF - In: International Journal of Theoretical and Applied … 08 (2005) 01, pp. 123-139
multiple optimal stopping problem. The solution of this problem is related to a system of variational inequalities. We prove …
Persistent link: https://www.econbiz.de/10004971805
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Risk, Uncertainty, and Option Exercise
Miao, Jianjun; Wang, Neng - Department of Economics, Boston University - 2004
Persistent link: https://www.econbiz.de/10005443359
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