不确定环境下的进入-退出决策
出版时间:
2016-09
ISBN:
9787551714136
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¡¡¡¡Entry-exit decisions apply to numerous practical problems. For example£¬ when to extract oil and when to stop the extraction£¬ when to issue a new policy and when to end it£¬ and when to let a kind of product enter a market and when to let the product exit the market£¬ etc. Therefore£¬ entry-exit decision problems attract a lot of researchers.
¡¡¡¡There are three approaches to study entry-exit decisions£¬ namely£¬ real option£¬ pure probability and optimal stopping. In this monograph£¬ we appeal to optimal stopping to deal with entry-exit decisions. The main reasons are as follows. On the one hand£¬ in the real option framework£¬ the regularity of payoff functions is a priori assumed£¬ while the optimal stopping approach intends to prove it. On the other hand£¬ although the pure probability and optimal stopping approaches are both to solve a optimal stopping problem£¬ we have to calculate density functions of some stopping times if applying the pure probability approach£¬ which is not easy£¬ whereas the optimal stopping one avoids such calculations.
¡¡¡¡We aim to obtain closed-form solutions of optimal entry-exit decisions for the cases£º costs depending on underlying processes£¬ implementation with delay£¬ and underlying processes following geometric Levy processes. In addition£¬ we provide a complete theory for optimal stopping problems with regime switching£¬ and use it to solve an exit problem. Overview
1 Entry-exit decisions with linear costs
1£®1 Introduction
1£®2 An elementary introduction to optimal stopping problems
1£®3 The model
1£®4 An optimal exit time
1£®5 An optimal entry-exit decision
1£®6 Conclusions
2 Entry-exit decisions with implementation delay
2£®1 Introduction
2£®2 Some results concerning classical optimal stopping problems
2£®3 A useful transformation
2£®4 The model
2£®5 An optimal entry-exit decision
2£®6 Conclusions
3 Entry-exit decisions with underlying processes following geometric Levy processes
3£®1 Introduction
3£®2 Solving optimal stopping problems by Wiener-Hopf factorization
3£®3 The model
3£®4 An optimal entry-exit decision
3£®5 The effect of jumping on optimal entry-exit decisions
3£®6 Conclusions
4 Optimal stopping problems with regime switching£º a viscosity solution method
4£®1 Introduction
4£®2 Optimal stopping problems with regime switching
4£®3 An application
4£®4 Conclusions
List of Figures
Bibliography
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内容简介:
¡¡¡¡Entry-exit decisions apply to numerous practical problems. For example£¬ when to extract oil and when to stop the extraction£¬ when to issue a new policy and when to end it£¬ and when to let a kind of product enter a market and when to let the product exit the market£¬ etc. Therefore£¬ entry-exit decision problems attract a lot of researchers.
¡¡¡¡There are three approaches to study entry-exit decisions£¬ namely£¬ real option£¬ pure probability and optimal stopping. In this monograph£¬ we appeal to optimal stopping to deal with entry-exit decisions. The main reasons are as follows. On the one hand£¬ in the real option framework£¬ the regularity of payoff functions is a priori assumed£¬ while the optimal stopping approach intends to prove it. On the other hand£¬ although the pure probability and optimal stopping approaches are both to solve a optimal stopping problem£¬ we have to calculate density functions of some stopping times if applying the pure probability approach£¬ which is not easy£¬ whereas the optimal stopping one avoids such calculations.
¡¡¡¡We aim to obtain closed-form solutions of optimal entry-exit decisions for the cases£º costs depending on underlying processes£¬ implementation with delay£¬ and underlying processes following geometric Levy processes. In addition£¬ we provide a complete theory for optimal stopping problems with regime switching£¬ and use it to solve an exit problem.
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目录:
Overview
1 Entry-exit decisions with linear costs
1£®1 Introduction
1£®2 An elementary introduction to optimal stopping problems
1£®3 The model
1£®4 An optimal exit time
1£®5 An optimal entry-exit decision
1£®6 Conclusions
2 Entry-exit decisions with implementation delay
2£®1 Introduction
2£®2 Some results concerning classical optimal stopping problems
2£®3 A useful transformation
2£®4 The model
2£®5 An optimal entry-exit decision
2£®6 Conclusions
3 Entry-exit decisions with underlying processes following geometric Levy processes
3£®1 Introduction
3£®2 Solving optimal stopping problems by Wiener-Hopf factorization
3£®3 The model
3£®4 An optimal entry-exit decision
3£®5 The effect of jumping on optimal entry-exit decisions
3£®6 Conclusions
4 Optimal stopping problems with regime switching£º a viscosity solution method
4£®1 Introduction
4£®2 Optimal stopping problems with regime switching
4£®3 An application
4£®4 Conclusions
List of Figures
Bibliography
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