Structural estimation of real options models

DOI10.1016/j.jedc.2008.10.001zbMath1170.91340OpenAlexW3123486656MaRDI QIDQ2271671

Matteo Tesser, Andrea Gamba

Publication date: 7 August 2009

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2008.10.001

zbMATH Keywords

Markov decision processesMonte Carlo methodsreal optionsdiscrete decision processes

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Microeconomic theory (price theory and economic markets) (91B24) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

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