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ArticleOptimal stopping under ambiguity in continuous time

Xue Cheng2012

Article2012

Optimal stopping under ambiguity in continuous time

Xue Cheng · Frank Riedel

93 citations·0/0 files stored·Mathematics and Financial Economics

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Stochastic processes and financial applications Risk and Portfolio Optimization Fuzzy Systems and Optimization

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References

1994Investment Under Uncertainty.1994Investment under Uncertainty 2007Brownian Motion and Stochastic Calculus 1982The Value of Waiting to Invest 2005Controlled Markov Processes and Viscosity Solutions 1900Théorie de la spéculation 1997Backward Stochastic Differential Equations in Finance 1996Real Options: Managerial Flexibility and Strategy in Resource Allocation

Cited by

2016On the Robust Optimal Stopping Problem ∗†2021Optimal stopping under model ambiguity: A time‐consistent equilibrium approach 2014A closed-form solution for options with ambiguity about stochastic volatility 2016Optimal stopping under model uncertainty: Randomized stopping times approach 2018Fear of the Market or Fear of the Competitor? Ambiguity in a Real Options Game 2020Optimal Capital Structure, Ambiguity Aversion, and Leverage Puzzles

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Year2012

Typearticle

Published2012-07-02

VenueMathematics and Financial Economics

ISSN-L1862-9660

Languageen

Citations93

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s11579-012-0081-6

openalex_workW1519485324

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2022

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