Zobrazeno 1 - 5
of 5
pro vyhledávání: '"Tadao Oryu"'
Autor:
Masahiko Egami1 egami@econ.kyoto-u.ac.jp, Tadao Oryu1 oryu.tadao.27r@st.kyoto-u.ac.jp
Publikováno v:
Operations Research. May/Jun2015, Vol. 63 Issue 3, p527-539. 13p. 2 Charts, 7 Graphs.
Autor:
Tadao Oryu, Masahiko Egami
Publikováno v:
Operations Research. 63:527-539
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, regula
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4ecbde32471e007645eec79f238aaa1a
https://doi.org/10.1287/opre.2015.1371
https://doi.org/10.1287/opre.2015.1371
Autor:
Masahiko Egami, Tadao Oryu
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:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::dc27c6ab4ec58125fcdf0b38317a6419
Autor:
Masahiko Egami, Tadao Oryu
Publikováno v:
SSRN Electronic Journal.
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:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::cf61827fe7ff422db1b31d27abd97603
https://doi.org/10.2139/ssrn.2305146
https://doi.org/10.2139/ssrn.2305146
Autor:
Tadao Oryu, Masahiko Egami
Publikováno v:
SSRN Electronic Journal.
We solve two optimal stopping problems whose payoff functions are the maximum and the minimum of two state variables driven by the Ornstein-Uhlenbeck processes. We consider a class of problems where we obtain analytical solutions. Furthermore, by mak
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::36cc7c5f27775848fe5b16cf4ab41443
https://doi.org/10.2139/ssrn.1597639
https://doi.org/10.2139/ssrn.1597639