1 citations · 1 across the 2 of their papers we have counts for
3 papers
q-fin.MF2015
Real Options and Threshold Strategies
Vadim Arkin, Alexander Slastnikov
The paper considers an investment timing problem appearing in real options theory. Present values from an investment project are modeled by general diffusion process. We prove nece…
math.PR2015★ 1 cited
Variational View to Optimal Stopping Problems for Diffusion Processes and Threshold Strategies
V. I. Arkin, A. D. Slastnikov
We describe a variational approach to solving optimal stopping problems for diffusion processes, as an alternative to the traditional approach based on the solution of the free-bou…
math.PR2013
Threshold Strategies in Optimal Stopping Problem for Diffusion Processes and Free-Boundary Problem
V. I. Arkin, A. D. Slastnikov
We study a problem when a solution to optimal stopping problem for one-dimensional diffusion will generate by threshold strategy. Namely, we give necessary and sufficient condition…