《不確定環境下的進入-退出決策》是2016年東北大學出版社出版的圖書。
基本介紹
- 中文名：不確定環境下的進入-退出決策
- 作者：張永超、張娜
- 出版社：東北大學出版社
- 出版時間：2016年
- 開本：16 開
- 裝幀：平裝
- ISBN：9787551714136
內容簡介,圖書目錄,
內容簡介
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： 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.
圖書目錄
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： 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
