Seminari del Dipartimento di Matematica

Seminario del 2022

Rossella Agliardi

Optimal stopping problems arising in real option theory

nell'ambito della serie: TOPICS IN MATHEMATICS 2021/2022

finanza matematica

I survey some results and open questions regarding the applications of optimal stopping theory to real option analysis. The main focus is on the issue of obtaining explicit solutions for the related free-boundary problems. First, some elementary examples are presented which are of interest for economic applications. Then an explicit expression for the value function in the two- dimensional (and n-dimensional ) case is obtained. The value function is written in terms of a modified Bessel function of second kind. Some useful formulas for the one-dimensional case are presented as well.