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Stochastic programming and the option of doing it differently

Research output: Contribution to Journal/Magazine › Journal article › peer-review

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Stochastic programming and the option of doing it differently. / Wallace, Stein W.
In: Annals of Operations Research, Vol. 177, No. 1, 06.2010, p. 3-8.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Wallace, SW 2010, 'Stochastic programming and the option of doing it differently', Annals of Operations Research, vol. 177, no. 1, pp. 3-8. https://doi.org/10.1007/s10479-009-0600-x

APA

Wallace, S. W. (2010). Stochastic programming and the option of doing it differently. Annals of Operations Research, 177(1), 3-8. https://doi.org/10.1007/s10479-009-0600-x

Vancouver

Wallace SW. Stochastic programming and the option of doing it differently. Annals of Operations Research. 2010 Jun;177(1):3-8. doi: 10.1007/s10479-009-0600-x

Author

Wallace, Stein W. / Stochastic programming and the option of doing it differently. In: Annals of Operations Research. 2010 ; Vol. 177, No. 1. pp. 3-8.

Bibtex

@article{bb212f32ec6f405083238f59bd3c0e7b,
title = "Stochastic programming and the option of doing it differently",
abstract = "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.",
keywords = "Programing : Stochastic, Relations to option theory",
author = "Wallace, {Stein W}",
year = "2010",
month = jun,
doi = "10.1007/s10479-009-0600-x",
language = "English",
volume = "177",
pages = "3--8",
journal = "Annals of Operations Research",
issn = "0254-5330",
publisher = "Springer",
number = "1",

}

RIS

TY - JOUR

T1 - Stochastic programming and the option of doing it differently

AU - Wallace, Stein W

PY - 2010/6

Y1 - 2010/6

N2 - 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.

AB - 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.

KW - Programing : Stochastic

KW - Relations to option theory

U2 - 10.1007/s10479-009-0600-x

DO - 10.1007/s10479-009-0600-x

M3 - Journal article

VL - 177

SP - 3

EP - 8

JO - Annals of Operations Research

JF - Annals of Operations Research

SN - 0254-5330

IS - 1

ER -