Mick Schaefer

University of Hamburg - School of Business, Economics and Social Sciences

Von-Melle-Park 5

Hamburg, DE Hamburg D-20146

Germany

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Optimal Exercise decisions under Inattention

Number of pages: 42 Posted: 10 Oct 2017 Last Revised: 04 Oct 2018
Mick Schaefer and Alexander Szimayer
University of Hamburg - School of Business, Economics and Social Sciences and University of Hamburg - Faculty of Economics and Business Administration
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Abstract:

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Markov processes, optimal stopping, optimal control, random intervention times, inattention, least squares Monte-Carlo, forward improvement iteration