Blar i NTNU Open på forfatter "Kort, P.M."
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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(Peer reviewed; Journal article, 2021)Subsidies initially installed to stimulate green capacity investments tend to be withdrawn after some time.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. ... -
Optimal double stopping problems for maxima and minima of geometric Brownian motions
Gapeev, Pavel; Kort, P.M.; Lavrutich, Maria; Thijssen, Jacco J.J. (Journal article; Peer reviewed, 2022) -
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. ...