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(Research report / Forskningsrapport, 1972)
(Research report / Forskningsrapport, 1971)
(Research report / Forskningsrapport, 1972)
(Research report / Forskningsrapport, 1971)
(Research report / Forskningsrapport, 1971)
(Research report / Forskningsrapport, 1971)
(Research report / Forskningsrapport, 2010)
We study optimal timing of irreversible investment decisions under return and time uncertainty. The considered models are formulated as maximization problems of the expected present value of the exercise payoff, where the ...
(Research report / Forskningsrapport, 2010)
We study the optimal stopping problem proposed by Dupuis and Wang in [9]. In this maximiza- tion problem of expected present value of exercise payo?, the underlying dynamics follow a linear diffusion. The decision maker ...
(Research report / Forskningsrapport, 2010)
We study the computation of the Greeks of options written on assets modelled by a multi-factor dynamics. For this purpose, we apply the conditional density method in which the knowledge of the density of one factor is ...
(Research report / Forskningsrapport, 2010)
In this paper, we develop a variational approach to study perturbation problems of ordinary differential equations (ODE's) with discontinuous coefficients. We propose a mathematical framework which can be used to construct ...