Optimal decision policy for real options under general Markovian dynamics

DOI10.1016/J.EJOR.2020.06.010zbMath1487.91155OpenAlexW2900156860MaRDI QIDQ2028909

Lorenzo Naranjo, Gonzalo Cortazar, Felipe Sainz

Publication date: 3 June 2021

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2020.06.010

zbMATH Keywords

real optionsOR in natural resourcesoptimal switching problemnumerical methods in finance

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Optimal stochastic control (93E20) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (1)

Demand uncertainty, product differentiation, and entry timing under spatial competition

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