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CONTRACTION OPTIONS AND OPTIMAL MULTIPLE-STOPPING IN SPECTRALLY NEGATIVE LÉVY MODELS
https://doi.org/10.32286/00023758
https://doi.org/10.32286/000237587ac9c3e0-6ec1-4798-8079-91b52bcb3d42
名前 / ファイル | ライセンス | アクション |
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KU-1100-20141017-01.pdf (1.4 MB)
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Item type | 学術雑誌論文 / Journal Article(1) | |||||
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公開日 | 2021-05-28 | |||||
タイトル | ||||||
タイトル | CONTRACTION OPTIONS AND OPTIMAL MULTIPLE-STOPPING IN SPECTRALLY NEGATIVE LÉVY MODELS | |||||
言語 | ||||||
言語 | eng | |||||
資源タイプ | ||||||
資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||
資源タイプ | journal article | |||||
ID登録 | ||||||
ID登録 | 10.32286/00023758 | |||||
ID登録タイプ | JaLC | |||||
著者 |
Yamazaki, Kazutoshi
× Yamazaki, Kazutoshi |
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著者別名 | ||||||
姓名 | 山崎, 和俊 | |||||
概要 | ||||||
内容記述タイプ | Other | |||||
内容記述 | This paper studies the optimal multiple-stopping problem arising in the context of the timing option to withdraw from a project in stages. The profits are driven by a general spectrally negative Lévy process. This allows the model to incorporate sudden declines of the project values, generalizing greatly the classical geometric Brownian motion model. We solve the one-stage case as well as the extension to the multiple-stage case. The optimal stopping times are of threshold-type and the value function admits an expression in terms of the scale function. A series of numerical experiments are conducted to verify the optimality and to evaluate the efficiency of the algorithm. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | K. Yamazaki is in part supported by MEXT KAKENHI grant numbers 22710143 and 26800092, JSPS KAKENHI grant number 23310103, the Inamori foundation research grant, and the Kansai University subsidy for supporting young scholars 2014. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | Mathematics Subject Classification (2010): Primary 60G40, Secondary 60J75 | |||||
書誌情報 |
Applied Mathematics & Optimization 巻 72, p. 147-185, 発行日 2014-10-17 |
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ISSN | ||||||
収録物識別子タイプ | ISSN | |||||
収録物識別子 | 14320606 | |||||
権利 | ||||||
権利情報 | This is a post-peer-review, pre-copyedit version of an article published in Applied Mathematics & Optimization. The final authenticated version is available online at: http://dx.doi.org/10.1007/s00245-014-9274-0. | |||||
著者版フラグ | ||||||
出版タイプ | AM | |||||
出版タイプResource | http://purl.org/coar/version/c_ab4af688f83e57aa | |||||
出版者 | ||||||
出版者 | Springer | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Optimal multiple-stopping | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Spectrally negative Lévy processes | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Real options | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | 関西大学 | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Kansai University | |||||
異版である | ||||||
関連タイプ | isVersionOf | |||||
識別子タイプ | URI | |||||
関連識別子 | https://doi.org/10.1007/s00245-014-9274-0 |