The optimal stopping problem revisited

Manuel Guerra, Cláudia Nunes and Carlos Oliveira ()
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Manuel Guerra: Universidade de Lisboa
Cláudia Nunes: Universidade de Lisboa
Carlos Oliveira: Universidade de Lisboa

Statistical Papers, 2021, vol. 62, issue 1, No 8, 137-169

Abstract: Abstract We consider an optimal stopping time problem, related with many models found in real options problems. We present analytical solutions for a broad class of gain functions, considering quite general assumptions over the model. Also, an extensive and general sensitivity analysis is provided.

Keywords: Optimal Stopping; Exit Option; Investment Option; Replacement Option; 60G40; 90B50 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s00362-019-01088-w

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