Exit strategies and price uncertainty: A Greenian approach

DOI10.1016/S0304-4068(96)00813-0zbMath0901.90020MaRDI QIDQ1381021

Luis H. R. Alvarez

Publication date: 26 November 1998

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

zbMATH Keywords

optimal stoppinguncertain demandirreversible exitoptimal exit thresholdvalue of the firm

Mathematics Subject Classification ID

Production theory, theory of the firm (91B38) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items

Developing real option game models ⋮ Exit option for a class of profit functions ⋮ On the properties of \(r\)-excessive mappings for a class of diffusions ⋮ Capacity choice under uncertainty in a duopoly with endogenous exit ⋮ The impact of delivery lags on irreversible investment under uncertainty ⋮ Optimal exit and valuation under demand uncertainty: a real options approach ⋮ Optimal harvesting under stochastic fluctuations and critical depensation

Cites Work

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• Investment and the Valuation of Firms When There is an Option to Shut Down
• Stochastic differential equations. An introduction with applications.