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Optimal decision policy for real options under general Markovian dynamics
Gonzalo Cortazar
, Lorenzo Naranjo
, Felipe Sainz
Research output
:
Contribution to journal
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Article
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peer-review
5
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Scopus citations
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Keyphrases
Optimal Decision
100%
Markovian Dynamics
100%
Optimal Switching
100%
Real Options
100%
Decision Policy
100%
Regression Function
50%
Stochastic Processes
50%
Easy-to-implement
50%
Simulation Method
50%
Switch Region
50%
Four-factor Model
50%
Robust Stability
50%
Markovian Process
50%
Two-factor Model
50%
Geometric Brownian Motion
50%
Commodity Prices
50%
Stochastic Volatility
50%
Price Process
50%
Carrying Costs
50%
Stochastic Variance
50%
Switching Boundary
50%
Least Squares Monte Carlo
50%
Stochastic Costs
50%
Engineering
One Dimensional
100%
Optimality
100%
Initial Guess
100%
Regression Function
100%
Optimal Decision
100%
Geometric Brownian Motion
100%
Markovian Dynamic
100%
Least Squares Method
100%
Mathematics
Stochastics
100%
Optimal Decision
100%
Variance
50%
Wide Variety
50%
Markov Process
50%
Stochastic Process
50%
Optimality
50%
Initial Guess
50%
Regression Function
50%
Geometric Brownian Motion
50%
Stochastic Volatility
50%
Price Process
50%
Least Squares Method
50%
Monte Carlo Method
50%
Economics, Econometrics and Finance
Real Options Analysis
100%
Factor Model
100%
Monte Carlo Simulation
50%
Volatility
50%
Price
50%
Levy Process
50%
Social Sciences
Stochastics
100%
Factor Model
66%
Variance
33%
Volatility
33%
Commodity Price
33%
Random Processes
33%
Monte Carlo
33%
Least Squares Method
33%
Levy Process
33%