Stochastic programming and the option of doing it differently

Wallace, Stein W (2010) Stochastic programming and the option of doing it differently. Annals of Operations Research, 177 (1). pp. 3-8. ISSN 0254-5330

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Option theory and stochastic programming are tightly linked. Most options can be analyzed in both frameworks, and the two approaches support each other in many slightly more complex situations. But this similarity hides some central differences in perspective. This short note tries to focus on one of these, namely the fact that option theory can be applied only to options already identified, while stochastic programming is able to help us find options in contexts where it is not at all clear what they are, and where finding might be more important than valuing.

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Journal Article
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Annals of Operations Research
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11 Jul 2011 18:35
Last Modified:
21 Nov 2022 21:27