Publicações > Artigos em Revistas Internacionais

The optimal stopping problem revisited

Nunes, Cláudia; Oliveira, Carlos

Statistical Papers, 1 (2019), 1-33

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.