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pro vyhledávání: '"Nunes, Cl��udia"'
We present an analytic solution of a differential-difference equation that appears when one solves an optimal stopping time problem with state process following a jump-diffusion process. This equation occurs in the context of real options and finance
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https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5e53df158be183f15267c2ee59de0d8c
http://arxiv.org/abs/1901.09572
http://arxiv.org/abs/1901.09572
This paper provides a full characterization of the value function and solution(s) of an optimal stopping problem for a one-dimensional diffusion with an integral criterion. The results hold under very weak assumptions, namely, the diffusion is assume
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https://explore.openaire.eu/search/publication?articleId=doi_dedup___::cfecfcd114b917cc476653903480cb16
http://arxiv.org/abs/1703.06178
http://arxiv.org/abs/1703.06178
We consider an optimal stopping time problem related with many models found in real options problems. The main goal of this work is to bring for the field of real options, different and more realistic pay-off functions, and negative interest rates. T
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::99cb4dfdc54a8a90bf4223b994a4e559
http://arxiv.org/abs/1701.01965
http://arxiv.org/abs/1701.01965
Autor:
Nunes, Cl��udia, Pimentel, Rita
We derive the optimal investment decision in a project where both demand and investment costs are stochastic processes, eventually subject to shocks. We extend the approach used in Dixit and Pindyck (1994), chapter 6.5, to deal with two sources of un
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https://explore.openaire.eu/search/publication?articleId=doi_________::889fce22546e3d3e11264f54b260a66e
Publikováno v:
Biblioteca Digital de Teses e Dissertações da UFAM
Universidade Federal do Amazonas (UFAM)
instacron:UFAM
Universidade Federal do Amazonas (UFAM)
instacron:UFAM
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https://explore.openaire.eu/search/publication?articleId=od______3056::90d77699f3c1c660d9b7e41587bd2c06
https://tede.ufam.edu.br/handle/tede/8958
https://tede.ufam.edu.br/handle/tede/8958