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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 22 Suchtheorie 22 Optimal stopping problem 17 Mathematical Tools 6 Optimal Stopping Problem 6 Mathematical programming 5 Mathematische Optimierung 5 Option pricing theory 5 Optionspreistheorie 5 addiction 5 quitting 5 real options analysis 5 smoking 5 Markov chain 4 Markov-Kette 4 Stochastic process 4 Stochastischer Prozess 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 22
Type of publication
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Article 35 Book / Working Paper 27
Type of publication (narrower categories)
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Article in journal 19 Aufsatz in Zeitschrift 19 Graue Literatur 4 Non-commercial literature 4 Working Paper 4 Arbeitspapier 2 Preprint 2
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Language
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English 34 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 Hoe, SingRu 1 Huddleston, Jeanne 1 Iancu, Dan Andrei 1 Ivy, Julie Simmons 1 Jeanblanc-Picqué, Monique 1 KORN, RALF 1 Karoui, Nicole El 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) 23 EconStor 4 Other ZBW resources 2
Showing 21 - 30 of 62
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АЛГОРИТМ РЕШЕНИЯ ЗАДАЧИ ОБ ОПТИМАЛЬНОЙ ОСТАНОВКЕ С КОНЕЧНЫМ ГОРИЗОНТОМ
МИНИРОВИЧ, ХАМЕТОВ ВЛАДИМИР; … - In: Управление большими … (2014) 3, pp. 6-22
Предложен и обоснован алгоритм решения задачи об оптимальной остановке с конечным горизонтом. Основываясь на этом алгоритме, реализованном в системе...
Persistent link: https://www.econbiz.de/10011270536
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Last success problem : decision rule and application
Kohn, Wolfgang - 2014
Where is the most likely position for the last success in n events, if each event has the same probability Pr(A)? What is the probability for the last success? This situation assumes returning successes which is different to the stop waiting problem where a single best event is assumed. We set...
Persistent link: https://www.econbiz.de/10010380717
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Stop waiting problem : decision rule with [psi] function and application with share prices
Kohn, Wolfgang - 2014 - Preprint
In this paper the stop-waiting strategy of Franz Bruss is set into a simple probabilistic framework and applied to the apple share prices from 1984 to 2013. Within the probabilistic framework a heuristic and a mathematical decision rule using the $\Psi$ function is developed. The results are in...
Persistent link: https://www.econbiz.de/10010381562
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When to Quit Under Uncertainty? A real options approach to smoking cessation
Chen, Yu-Fu; Petrie, Dennis - Department of Economics Studies, University of Dundee - 2012
This paper models the decision to quit smoking like an investment decision where the quitter incurs a sunk withdrawal cost today and forgoes their consumer surplus from cigarettes (invests) and hopes to reap an uncertain reward of better health and therefore higher utility in the future...
Persistent link: https://www.econbiz.de/10010592133
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Real options with competition and regime switching
Bensoussan, Alain; Hoe, SingRu; Yan, Zhongfeng; Yin, George - In: Mathematical finance : an international journal of … 27 (2017) 1, pp. 224-250
Persistent link: https://www.econbiz.de/10011739453
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The time-money trade-off for entrepreneurs : when to hire the first employee?
Yoo, Onesun Steve; Roels, Guillaume; Corbett, Charles J. - In: Manufacturing & service operations management : M & SOM 18 (2016) 4, pp. 559-569
Persistent link: https://www.econbiz.de/10011595006
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Identification and semiparametric estimation of a finite horizon dynamic discrete choice model with a terminating action
Bajari, Patrick L.; Chu, Chenghuan Sean; Nekipelov, Denis N. - In: Quantitative marketing and economics : QME 14 (2016) 4, pp. 271-323
Persistent link: https://www.econbiz.de/10011639978
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Pricing perpetual American compound options under a matrix-exponential jump-diffusion model
Chang, Ming-Chi; Sheu, Yuan-Chung; Tsai, Ming-Yao - In: Applied mathematical finance 22 (2015) 5/6, pp. 553-575
Persistent link: https://www.econbiz.de/10011490624
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Approaches to multistage one-shot decision making
Guo, Peijun; Li, Yonggang - In: European Journal of Operational Research 236 (2014) 2, pp. 612-623
existing methods. The one-shot optimal stopping problem is analyzed where a decision maker has only one chance to determine …
Persistent link: https://www.econbiz.de/10010753503
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Approaches to multistage one-shot decision making
Guo, Peijun; Li, Yonggang - In: European journal of operational research : EJOR 236 (2014) 2, pp. 612-623
Persistent link: https://www.econbiz.de/10010366127
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