Michaela Schnetzer

affiliation not provided to SSRN

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Scholarly Papers (1)

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Entry and Exit Decision Problem with Implementation Delay

Journal of Applied Probability, Vol. 45, No. 4, 2008
Number of pages: 26 Posted: 30 Jun 2008 Last Revised: 18 May 2009
Marius Costeniuc, Michaela Schnetzer and Luca Taschini
Swiss Re, affiliation not provided to SSRN and London School of Economics & Political Science (LSE) - Grantham Research Institute on Climate Change and the Environment
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Citation 2

Abstract:

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Brownian excursion, Implementation Delay, Parisian Option, Optimal Stopping, Wald's Identity