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The High Contact Principle as a Sufficiency Condition for Optimal Stopping
5 references·15 citing·38 second hop
The High Contact Principle as a Sufficiency Condition for Optimal Stopping (1990)The High Contact Principle as a Sufficien…Theory of rational option pricing (2005)Theory of rational option pri…Stochastic Differential Equations (2003)Stochastic Differential Equat…Entry and Exit Decisions under Uncertainty (1989)Entry and Exit Decisions unde…Evaluating Natural Resource Investments (1985)Evaluating Natural Resource I…Stochastic Differential Equations and Applications (1976)Stochastic Differential Equat…Switching from oil to gas production in a depleting field (2018)Switching from oil to gas pro…ON A FINITE HORIZON STARTING AND STOPPING PROBLEM WITH RISK OF ABANDONMENT (2009)ON A FINITE HORIZON STARTING …Optimal Stopping of Linear Diffusions with Random Discounting (2008)Optimal Stopping of Linear Di…Principle of smooth fit and diffusions with angles (2007)Principle of smooth fit and d…Finite maturity caps and floors on continuous flows (2007)Finite maturity caps and floo…Boundary Sensitivities for Diffusion Processes in Time Dependent Domains (2006)Boundary Sensitivities for Di…Smooth pasting as rate of return equalization (2005)Smooth pasting as rate of ret…Explicit Solution of a Stochastic, Irreversible Investment Problem and Its Moving Threshold (2005)Explicit Solution of a Stocha…Pricing Perpetual Fund Protection with Withdrawal Option (2003)Pricing Perpetual Fund Protec…A Problem of Sequential Entry and Exit Decisions Combined with Discretionary Stopping (2003)A Problem of Sequential Entry…Dynamic Capital Structure with Callable Debt and Debt Renegotiations (2002)Dynamic Capital Structure wit…A Model for Investments in the Natural Resource Industry with Switching Costs (2001)A Model for Investments in th…Stochastic Control Problems where Small Intervention Costs Have Big Effects (1999)Stochastic Control Problems w…A class of solvable singular stochastic control problems (1999)A class of solvable singular …A Verificiation Theorem for Combined Stochastic Control and Impulse Control (1998)A Verificiation Theorem for C…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)Singular stochastic control in the presence of a state-dependent yield structure (2000)Stochastic Forest Stand Value and Optimal Timber Harvesting (2004)Stochastic Integration and Differential Equations (2005)On the Optimal Stochastic Impulse Control of Linear Diffusions (2008)Continuous Martingales and Brownian Motion (1999)Controlled Markov Processes and Viscosity Solutions (2005)Optimal Switching over Multiple Regimes (2009)On the One-Dimensional Optimal Switching Problem (2010)Viscosity Solutions of Systems of PDEs with Interconnected Obstacles and Switching Problem (2012)Investment in Human Capital: A Theoretical Analysis (1962)Irreversibility, Uncertainty, and Investment (1990)Operating Flexibility, Global Manufacturing, and the Option Value of a Multinational Network (1994)The Asset-Pricing Implications of Government Economic Policy Uncertainty (2015)The Pricing of Options and Corporate Liabilities (1973)Determinants of corporate borrowing (1977)A Theory of the Term Structure of Interest Rates (1985)The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)Brownian Motion and Stochastic Calculus (2007)A Model for Optimally Advertising and Launching a Product (2011)On the optimal stopping of a one-dimensional diffusion (2013)Nash equilibria of threshold type for two-player nonzero-sum games of stopping (2018)A General Equilibrium Approach To Monetary Theory (1969)On a Stochastic, Irreversible Investment Problem (2009)Characterization of the Optimal Boundaries in Reversible Investment Problems (2014)Optimal Boundary Surface for Irreversible Investment with Stochastic Costs (2017)A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates (1981)An Exact Bond Option Formula (1989)A pricing method for options based on average asset values (1990)Optimal Switching with Applications to Energy Tolling Agreements (2005)The explicit solution to a sequential switching problem with non-smooth data (2010)Finite-Horizon Optimal Multiple Switching with Signed Switching Costs (2016)Do subsidies to commercial R&D reduce market failures? Microeconometric evaluation studies (2000)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)
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References

  • 2005Theory of rational option pricing7,161 cited
  • 2003Stochastic Differential Equations2,978 cited
  • 1985Evaluating Natural Resource Investments2,379 cited
  • 1989Entry and Exit Decisions under Uncertainty2,356 cited
  • 1976Stochastic Differential Equations and Applications1,378 cited

Cited by

  • 2003A Problem of Sequential Entry and Exit Decisions Combined with Discretionary Stopping59 cited
  • 1999A class of solvable singular stochastic control problems56 cited
  • 2001A Model for Investments in the Natural Resource Industry with Switching Costs43 cited
  • 2008Optimal Stopping of Linear Diffusions with Random Discounting39 cited
  • 2005Explicit Solution of a Stochastic, Irreversible Investment Problem and Its Moving Threshold38 cited
  • 2005Smooth pasting as rate of return equalization38 cited
  • 1999Stochastic Control Problems where Small Intervention Costs Have Big Effects37 cited
  • 2007Finite maturity caps and floors on continuous flows36 cited
  • 2003Pricing Perpetual Fund Protection with Withdrawal Option35 cited
  • 2002Dynamic Capital Structure with Callable Debt and Debt Renegotiations33 cited

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  • 2006Boundary Sensitivities for Diffusion Processes in Time Dependent Domains32 cited
  • 2009ON A FINITE HORIZON STARTING AND STOPPING PROBLEM WITH RISK OF ABANDONMENT30 cited
  • 1998A Verificiation Theorem for Combined Stochastic Control and Impulse Control29 cited
  • 2007Principle of smooth fit and diffusions with angles26 cited
  • 2018Switching from oil to gas production in a depleting field23 cited