Double Ezponential Jump Diffusion Processes and Its Application to Real Options

摘要：

In this paper,we consider optimal stopping problem for double exponential jump dif fusion processes.Moreover,we derive the value function of the option to postpone and its optimal boundary. Also some numerical results are presented to demonstrate analytical sensitives of the value function with respect to parameters.

关键词： Double ezponential Jump diffusion process optimal stopping problem

作者: Atsuo Suzuki Katsushige Sawaki

作者单位: Faculty of Urban Science,Meijo University 4-3-3 Nijigaoka,Kani,Gifu 509-0261,Japan Nanzan Business School,Nanzan University 18 Yamazato,Nagoya,Aichi 466-8673,Japan

会议类型: 国际会议

会议名称: The 8th International Symposium on Operations Research and Its Applications(第八届运筹及其应用国际专题讨论会 ISORA09)

会议地点: 张家界

会议语种:英文

页码: 436-441

在线出版日期: 2009-09-20（万方平台首次上网日期，不代表论文的发表时间）