• Discounted optimal stopping problems for maxima of geometric Brownian motions with switching payoffs 

      Gapeev, Pavel; Kort, P.M.; Lavrutich, Maria (Peer reviewed; Journal article, 2020)
      We present closed-form solutions to some discounted optimal stopping problems for the running maximum of a geometric Brownian motion with payoffs switching according to the dynamics of a continuous-time Markov chain with ...
    • Green capacity investment under subsidy withdrawal risk 

      Nagy, Roel; Hagspiel, Verena; Kort, P.M. (Peer reviewed; Journal article, 2021)
      Subsidies initially installed to stimulate green capacity investments tend to be withdrawn after some time. This paper analyzes the effect on investment of this phenomenon in a dynamic framework with demand uncertainty. ...
    • Preventing Environmental Disasters in Investment under Uncertainty 

      Kort, P.M.; Lavrutich, Maria; Nunes, Cláudia; Oliveira, Carlos (Peer reviewed; Journal article, 2021)
      The paper considers a firm that has the option to invest in a project with an unknown profitability, which is affected by general market uncertainty. The project has the adverse effect that it can cause environmental damage. ...