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Boyarchenko, Svetlana

Irreversible Decisions under Uncertainty

Boyarchenko, Svetlana - Irreversible Decisions under Uncertainty, ebook

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Ebook, PDF with Adobe DRM
ISBN: 9783540737469
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Table of contents

Part I. Discrete time — discrete space models. Finite time horizon

1. Introduction

2. Real options and American options

3. Risk-neutral pricing. Finite time horizon case

Part II. Discrete time — discrete space models. Infinite time horizon

4. Random walks on Z

5. Options in the binomial and trinomial models

6. General random walks on Z: Option pricing

Part III. Discrete time — continuous space models

7. Random walks on R

8. Basic options in the model (7.5)

9. Optimal stopping for general random walks

Part IV. Continuous time - continuous space models

10. Brownian motion case

11. General Lévy processes

12. Embedded options

Part V. Extensions

13. American options with finite time horizon

14. Perpetual American and real options under Ornstein-Uhlenbeck processes

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Keywords: BUSINESS & ECONOMICS / Management Science BUS042000

Author(s)
 
Publisher
Springer
Publication year
2007
Language
en
Edition
1
Category
Economy
Format
Ebook
eISBN (PDF)
9783540737469

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