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Stochastic programming and the option of doing it differently |
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| Authors: | Stein W Wallace |
| Institution: | 1. CNRS–LAMSADE, UMR 7024, Université Paris Dauphine, Place du Maréchal de Lattre de Tassigny, 75775, Paris Cedex 16, France 2. DEIS, Università di Bologna, Viale Risorgimento 2, 40136, Bologna, Italy 3. MOSI, Department of Mathematics, Operational Research, Statistics and Information Systems for Management, Vrije Universiteit Brussel, Pleinlaan 2, 1050, Brussels, Belgium |
| 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. |
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