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On Threshold Strategies and the Smooth-Fit Principle for Optimal Stopping Problems
16 references·1 citing·31 second hop
On Threshold Strategies and the Smooth-Fit Principle for Optimal Stopping Problems (2007)On Threshold Strategies and the Smooth-Fi…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Irreversible investment in alternative projects (2005)Irreversible investment in al…On the optimal stopping problem for one-dimensional diffusions (2003)On the optimal stopping probl…Stochastic Differential Equations (1998)Stochastic Differential Equat…Robustness of the Black and Scholes Formula (1998)Robustness of the Black and S…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Handbook of Brownian Motion — Facts and Formulae (1996)Handbook of Brownian Motion —…Investment Under Uncertainty. (1994)Investment Under Uncertainty.Investment under Uncertainty (1994)Investment under UncertaintyBrownian Motion and Stochastic Calculus (1988)Brownian Motion and Stochasti…Stochastic Differential Equations: An Introduction with Applications. (1987)Stochastic Differential Equat…Optimal Stopping of One-Dimensional Diffusions (1985)Optimal Stopping of One-Dimen…The Value of Waiting to Invest (1982)The Value of Waiting to InvestLes Aspects Probabilistes Du Controle Stochastique (1981)Les Aspects Probabilistes Du …DIFFUSION PROCESSES AND THEIR SAMPLE PATHS (1967)DIFFUSION PROCESSES AND THEIR…A mixed singular/switching control problem for a dividend policy with reversible technology investment (2008)A mixed singular/switching co…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)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)The Value Premium (2005)Policy Uncertainty and Corporate Investment (2015)Drift Independent Volatility Estimation Based on High, Low, Open, and Close Prices (2000)EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?* (2009)Fluctuations of Lévy Processes with Applications (2014)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)The dynamics of stochastic volatility: evidence from underlying and options markets (2003)Liaisons dangereuses: Increasing connectivity, risk sharing, and systemic risk (2012)On modelling and pricing weather derivatives (2002)Multiscale Stochastic Volatility Asymptotics (2003)Saving and investing for early retirement: A theoretical analysis☆ (2006)A general version of the fundamental theorem of asset pricing (1994)Arbitrage Theory in Continuous Time (1998)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets (2002)Pricing American Options: A Duality Approach (2004)Model Uncertainty and Option Markets with Heterogeneous Beliefs (2006)Capital markets research in accounting (2001)
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  • 2008A mixed singular/switching control problem for a dividend policy with reversible technology investment38 cited