Valuing flexibility: An impulse control framework
type: Item
instance of: scholarly article
title: Valuing flexibility: An impulse control framework
zbMATH Open document ID: 0800.90053
DOI: 10.1007/BF02282044
author: James E. Hodder
author: Alexander J. Triantis
published in: Annals of Operations Research
publication date: 1994-01-26T00:00:00Z
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 490515
describes a project that uses: AS 195
MaRDI profile type: Publication
cites work: An Intertemporal General Equilibrium Model of Asset Prices
cites work: Option pricing: A simplified approach
cites work: Portfolio Selection with Transaction Costs
cites work: An extension of the Black-Scholes model of security valuation
cites work: Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities
cites work: From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process1
cites work: The construction of hopscotch methods for parabolic and elliptic equations in two space dimensions with a mixed derivative
cites work: Probability Integrals of Multivariate Normal and Multivariate $t^1$
cites work: Q3808989
cites work: Martingales and arbitrage in multiperiod securities markets
cites work: Impulse Control of Brownian Motion
cites work: Instantaneous Control of Brownian Motion
cites work: Q3374309
cites work: Q4039796
cites work: Investment and the Valuation of Firms When There is an Option to Shut Down
cites work: Q4905685
cites work: Computer Evaluation of the Multivariate Normal Integral
cites work: Mutual fund separation in financial theory - the separating distributions
cites work: Algorithm AS 195: Multivariate Normal Probabilities with Error Bound
cites work: A Reduction Method Applicable to Compound Option Formulas
description: scientific article; zbMATH DE number 490515