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Optimal stopping under ambiguity in continuous time
16 references·8 citing·32 second hop
Optimal stopping under ambiguity in continuous time (2012)Optimal stopping under ambiguity in conti…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Optimal stopping and free-boundary problems (2006)Optimal stopping and free-bou…Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…Ambiguity, Risk, and Asset Returns in Continuous Time (2002)Ambiguity, Risk, and Asset Re…Backward Stochastic Differential Equations in Finance (1997)Backward Stochastic Different…Real options: Managerial flexibility and strategy in resource allocation (1996)Real options: Managerial flex…Real Options: Managerial Flexibility and Strategy in Resource Allocation (1996)Real Options: Managerial Flex…Investment Under Uncertainty. (1994)Investment Under Uncertainty.Investment under Uncertainty (1994)Investment under UncertaintyStochastic Differential Utility (1992)Stochastic Differential Utili…Brownian motion and stochastic calculus (1991)Brownian motion and stochasti…Irreversible Investment, Capacity Choice and the Value of the Firm (1986)Irreversible Investment, Capa…The Value of Waiting to Invest (1982)The Value of Waiting to InvestControlled Diffusion Processes (1980)Controlled Diffusion ProcessesStationary Ordinal Utility and Impatience (1960)Stationary Ordinal Utility an…Théorie de la spéculation (1900)Théorie de la spéculationDistributionally Robust Inventory Control When Demand Is a Martingale (2022)Distributionally Robust Inven…Optimal stopping under model ambiguity: A time‐consistent equilibrium approach (2021)Optimal stopping under model …Optimal Capital Structure, Ambiguity Aversion, and Leverage Puzzles (2020)Optimal Capital Structure, Am…Fear of the Market or Fear of the Competitor? Ambiguity in a Real Options Game (2018)Fear of the Market or Fear of…Optimal stopping under model uncertainty: Randomized stopping times approach (2016)Optimal stopping under model …On the Robust Optimal Stopping Problem ∗† (2016)On the Robust Optimal Stoppin…Consumption of Durable Goods under Ambiguity (2014)Consumption of Durable Goods …A closed-form solution for options with ambiguity about stochastic volatility (2014)A closed-form solution for op…The Pricing of Options and Corporate Liabilities (1973)Stochastic Differential Equations and Diffusion Processes (1983)Martingale Methods in Financial Modelling (1997)Mean field games (2007)Capital Theory and Investment Behavior (1963)Option pricing when underlying stock returns are discontinuous (1976)Irreversibility, Uncertainty, and Cyclical Investment (1980)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Joint Ventures and the Option to Expand and Acquire (1991)Operating Flexibility, Global Manufacturing, and the Option Value of a Multinational Network (1994)Reflected solutions of backward SDE's, and related obstacle problems for PDE's (1997)Backward stochastic differential equations and partial differential equations with quadratic growth (2000)Theory of rational option pricing (2005)Partial Differential Equations (2010)Information, Blockbusters and Stars? A Study of the Film Industry (1997)Real options reasoning and a new look at the R&D investment strategies of pharmaceutical firms (2003)Real options theory in strategic management (2016)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)The Value Premium (2005)Policy Uncertainty and Corporate Investment (2015)Scaling behaviour in the dynamics of an economic index (1995)5 Stochastic volatility (1996)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Optimal Taxation of Capital Income in General Equilibrium with Infinite Lives (1986)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis (1991)Handbook of Emotions (1993)Capital markets research in accounting (2001)
this work references cited by second hop

References

  • 1994Investment Under Uncertainty.9,497 cited
  • 1994Investment under Uncertainty9,016 cited
  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1982The Value of Waiting to Invest3,606 cited
  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 1900Théorie de la spéculation2,605 cited
  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 1996Real Options: Managerial Flexibility and Strategy in Resource Allocation2,220 cited
  • 1991Brownian motion and stochastic calculus2,089 cited
  • 1960Stationary Ordinal Utility and Impatience1,550 cited
  • 1980Controlled Diffusion Processes1,311 cited
  • 1986Irreversible Investment, Capacity Choice and the Value of the Firm1,296 cited
  • 1996Real options: Managerial flexibility and strategy in resource allocation1,241 cited
  • 1992Stochastic Differential Utility1,165 cited
  • 2002Ambiguity, Risk, and Asset Returns in Continuous Time1,073 cited
  • 2006Optimal stopping and free-boundary problems1,068 cited

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Cited by

  • 2016On the Robust Optimal Stopping Problem ∗†35 cited
  • 2021Optimal stopping under model ambiguity: A time‐consistent equilibrium approach29 cited
  • 2014A closed-form solution for options with ambiguity about stochastic volatility27 cited
  • 2018Fear of the Market or Fear of the Competitor? Ambiguity in a Real Options Game25 cited
  • 2016Optimal stopping under model uncertainty: Randomized stopping times approach25 cited
  • 2020Optimal Capital Structure, Ambiguity Aversion, and Leverage Puzzles19 cited
  • 2022Distributionally Robust Inventory Control When Demand Is a Martingale18 cited
  • 2014Consumption of Durable Goods under Ambiguity2 cited