Real-Option Valuation in Multiple Dimensions Using Poisson Optional Stopping Times
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DOI: 10.1017/s0022109019000048
Abstract: We provide a new framework for valuing multidimensional real options where opportunities to exercise the option are generated by an exogenous Poisson process, which can be viewed as a liquidity constraint on decision times. This… read more here.
Keywords: stopping times; poisson optional; option valuation; optional stopping ... See more keywords
Almost the best of three worlds: Risk, consistency and optional stopping for the switch criterion in nested model selection
Sign Up to like & getrecommendations! Published in 2018 at "Statistica Sinica"
DOI: 10.5705/ss.202016.0011
Abstract: We study the switch distribution, introduced by van Erven, Grunwald and De Rooij (2012), applied to model selection and subsequent estimation. While switching was known to be strongly consistent, here we show that it achieves… read more here.
Keywords: switch criterion; model; model selection; optional stopping ... See more keywords