Search Results - subject:"Optimal switching"

The effects of reversible investment on capital structure and credit risks

Jeon, Haejun; Nishihara, Michi - In: The financial review : the official publication of the … 51 (2016) 2, pp. 263-293

Persistent link: https://www.econbiz.de/10011488210

Optimal switching decisions under stochastic volatility with fast mean reversion

Tsekrekos, Andrianos E.; Yannacopoulos, Athanasios N. - In: European journal of operational research : EJOR 251 (2016) 1, pp. 148-157

Persistent link: https://www.econbiz.de/10011446242

Finite-horizon optimal multiple switching with signed witching costs

Martyr, Randall - In: Mathematics of operations research 41 (2016) 4, pp. 1432-1447

Persistent link: https://www.econbiz.de/10011595097

The explicit solution to a sequential switching problem with non-smooth data

Johnson, Timothy C.; Zervos, Mihail - London School of Economics (LSE) - 2010

We consider the problem faced by a decision maker who can switch between two random payoff flows. Each of these payoff flows is an additive functional of a general 1D Ito diffusion. There are no bounds on the number or on the frequency of the times at which the decision maker can switch, but...

Persistent link: https://www.econbiz.de/10010745179

The effects of business cycle and debt maturity on a firm's investment and default decisions

Jeon, Haejun; Nishihara, Michi - In: International review of economics & finance : IREF 38 (2015), pp. 326-351

Persistent link: https://www.econbiz.de/10011572378

Macroeconomic conditions and a firm’s investment decisions

Jeon, Haejun; Nishihara, Michi - In: Finance Research Letters 11 (2014) 4, pp. 398-409

We propose a model of a firm’s reversible investment decision with macroeconomic conditions based on optimal switching …

Persistent link: https://www.econbiz.de/10011118186

Using real option analysis to quantify ethanol policy impact on the firm's entry into and optimal operation of corn ethanol facilities

Maxwell, Christian; Davison, Matt - In: Energy Economics 42 (2014) C, pp. 140-151

facility through optimal switching from idled to operational status and (ii) the decision to enter into the project given its …

Persistent link: https://www.econbiz.de/10010868724

Optimal control of a Brownian production/inventory system with average cost criterion

Wu, Jingchen; Chao, Xiuli - In: Mathematics of operations research 39 (2014) 1, pp. 163-189

Persistent link: https://www.econbiz.de/10010345217

Using real option analysis to quantify ethanol policy impact on the firm's entry into and optimal operation of corn ethanol facilities

Maxwell, Christian; Davison, Matt - In: Energy economics 42 (2014), pp. 140-151

Persistent link: https://www.econbiz.de/10010502955

Optimal starting-stopping and switching of a CIR process with fixed costs

Leung, Tim; Li, Xin; Wang, Zheng - In: Risk and decision analysis 5 (2014) 2/3, pp. 149-161

Persistent link: https://www.econbiz.de/10011285058