A network of options: evaluating complex interdependent decisions under uncertainty

DOI10.1016/j.jedc.2011.01.004zbMath1209.91162OpenAlexW2163905961MaRDI QIDQ633325

Takashi Akamatsu, Takeshi Nagae

Publication date: 31 March 2011

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

Full work available at URL: https://doi.org/10.1016/j.jedc.2011.01.004

zbMATH Keywords

graph theorymanagerial flexibilitygeneralized complementarity problemscompound real optionssingular stochastic control problems

Mathematics Subject Classification ID

Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Optimal stochastic control (93E20) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (1)

A generalized complementarity approach to solving real option problems

Cites Work

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• Variational inequalities and the pricing of American options
• On the theory of option pricing
• A generalized complementarity approach to solving real option problems
• Investments in flexible production capacity
• A non-interior continuation method for generalized linear complementarity problems
• Investment and the Valuation of Firms When There is an Option to Shut Down
• A Smoothing Newton Method for Extended Vertical Linear Complementarity Problems
• Option pricing: A simplified approach
• Time-to-build and capacity choice

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