Real Options Games in Complete and Incomplete Markets with Several Decision Makers

DOI10.1137/090768060zbMath1203.91319OpenAlexW2158957035MaRDI QIDQ3055869

SingRu (Celine) Hoe, J. David Diltz, Alain Bensoussan

Publication date: 10 November 2010

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/090768060

zbMATH Keywords

variational inequalityoptimal stoppingreal optionsoptimal investment strategyutility-based pricingStackelberg leader-follower game

Mathematics Subject Classification ID

Hierarchical games (including Stackelberg games) (91A65) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15) Corporate finance (dividends, real options, etc.) (91G50) Probabilistic games; gambling (91A60)

Related Items (6)

Strategic real options with stochastic volatility in a duopoly model ⋮ Real Options with Competition and Incomplete Markets ⋮ REAL OPTIONS WITH COMPETITION AND REGIME SWITCHING ⋮ PRIORITY OPTION: THE VALUE OF BEING A LEADER ⋮ Optimal product release time for a new high-tech startup firm under technical uncertainty ⋮ Investment under uncertainty, competition and regulation

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