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The optimal stopping problem revisited

Author

Listed:
  • Manuel Guerra

    (Universidade de Lisboa)

  • Cláudia Nunes

    (Universidade de Lisboa)

  • Carlos Oliveira

    (Universidade de Lisboa
    Universidade de Lisboa)

Abstract

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.

Suggested Citation

  • Manuel Guerra & Cláudia Nunes & Carlos Oliveira, 2021. "The optimal stopping problem revisited," Statistical Papers, Springer, vol. 62(1), pages 137-169, February.
    • Handle: RePEc:spr:stpapr:v:62:y:2021:i:1:d:10.1007_s00362-019-01088-w
    DOI: 10.1007/s00362-019-01088-w
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    References listed on IDEAS

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    Cited by:

    1. Zhenya Liu & Yuhao Mu, 2022. "Optimal Stopping Methods for Investment Decisions: A Literature Review," IJFS, MDPI, vol. 10(4), pages 1-23, October.
    2. Nader Karimi & Erfan Salavati & Hirbod Assa & Hojatollah Adibi, 2023. "Sensitivity Analysis of Optimal Commodity Decision Making with Neural Networks: A Case for COVID-19," Mathematics, MDPI, vol. 11(5), pages 1-15, February.

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