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pro vyhledávání: '"Oryu, Tadao"'
Autor:
Oryu, Tadao
0048
甲第20145号
経博第543号
新制||経||280(附属図書館)
学位規則第4条第1項該当
Doctor of Economics
Kyoto University
DGAM
甲第20145号
経博第543号
新制||経||280(附属図書館)
学位規則第4条第1項該当
Doctor of Economics
Kyoto University
DGAM
Externí odkaz:
http://hdl.handle.net/2433/225370
Autor:
Egami, Masahiko, Oryu, Tadao
We provide, in a general setting, explicit solutions for optimal stopping problems that involve diffusion process and its running maximum. Our approach is to use the excursion theory for Levy processes. Since general diffusions are, in particular, no
Externí odkaz:
http://arxiv.org/abs/1609.03011
Autor:
Egami, Masahiko, Oryu, Tadao
We provide, in a general setting, explicit solutions for optimal stopping problems that involve a diffusion process and its running maximum. Besides, a new feature includes absorbing boundaries that vary with the value of the running maximum. The exi
Externí odkaz:
http://arxiv.org/abs/1509.08203
Autor:
Egami, Masahiko, Oryu, Tadao
The importance of the global financial system cannot be exaggerated. When a large financial institution becomes problematic and is bailed out, that bank is often claimed as "too big to fail". On the other hand, to prevent bank's failure, regulatory a
Externí odkaz:
http://arxiv.org/abs/1311.3019
Autor:
Egami, Masahiko, Oryu, Tadao
We consider a new type of optimal stopping problems where the absorbing boundary moves as the state process X attains new maxima S. More specifically, we set the absorbing boundary as S-b where b is a certain constant. This problem is naturally conne
Externí odkaz:
http://arxiv.org/abs/1308.0509
Autor:
Egami, Masahiko, Oryu, Tadao
Publikováno v:
Operations Research, 2015 May 01. 63(3), 527-539.
Externí odkaz:
http://www.jstor.org/stable/24540393
Autor:
Egami, Masahiko1 egami@econ.kyoto-u.ac.jp, Oryu, Tadao2 toryu@tmu.ac.jp
Publikováno v:
Finance & Stochastics. Oct2017, Vol. 21 Issue 4, p967-993. 27p.