The optimal stopping problem revisited
Nunes, Cláudia; Oliveira, Carlos
Statistical Papers, 1 (2019), 1-33
https://doi.org/10.1007/s00362-019-01088-w
We consider an optimal stopping time problem, related with many models found in real options problems. We present analytical solutions for a broad class of gain functions, considering quite general assumptions over the model. Also, an extensive and general sensitivity analysis is provided.
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