Studies in Economic Theory

1 primary work

Irreversible Decisions Under Uncertainty

by Svetlana I Boyarchenko and Serge Levendorskii?

Published 3 September 2007

Here, two highly experienced authors present an alternative approach to optimal stopping problems. The basic ideas and techniques of the approach can be explained much simpler than the standard methods in the literature on optimal stopping problems. The monograph will teach the reader to apply the technique to many problems in economics and finance, including new ones. From the technical point of view, the method can be characterized as option pricing via the Wiener-Hopf factorization.