GAHUNGU, Joachim; SMEERS, Yves - Center for Operations Research and Econometrics (CORE), … - 2009
using dynamic programming, one can find an analytic trigger for a three assets simple exchange problem. Although we get a … more than one asset. We show in this paper that using dynamic programming,
one can find an analytic trigger for a three … continuation
region.
Keywords: real options, dynamic programming, price and cost uncertainty.
JEL Classification: C61, C63, G …