A Closed-Form Solution for the Exercise Strategy in a Real Options Model with a Jump-Diffusion Process

2013 ◽  
Vol 73 (1) ◽  
pp. 549-571 ◽  
Author(s):  
Jin Liang ◽  
Ming Yang ◽  
Lishang Jiang
Keyword(s):  
Diffusion Process ◽  
Real Options ◽  
Closed Form ◽  
Closed Form Solution ◽  
Jump Diffusion ◽  
Form Solution ◽  
Jump Diffusion Process

OPTIMAL PROPORTIONAL REINSURANCE AND INVESTMENT PROBLEM WITH CONSTRAINTS ON RISK CONTROL IN A GENERAL JUMP-DIFFUSION FINANCIAL MARKET

2016 ◽  
Vol 57 (3) ◽  
pp. 352-368
Author(s):  
HUIMING ZHU ◽  
YA HUANG ◽  
JIEMING ZHOU ◽  
XIANGQUN YANG ◽  
CHAO DENG
Keyword(s):  
Diffusion Process ◽  
Closed Form ◽  
Financial Market ◽  
Optimal Strategies ◽  
Jump Diffusion ◽  
Model Parameters ◽  
Proportional Reinsurance ◽  
Investment Problem ◽  
Jump Diffusion Process ◽  
The Impact

We study the optimal proportional reinsurance and investment problem in a general jump-diffusion financial market. Assuming that the insurer’s surplus process follows a jump-diffusion process, the insurer can purchase proportional reinsurance from the reinsurer and invest in a risk-free asset and a risky asset, whose price is modelled by a general jump-diffusion process. The insurance company wishes to maximize the expected exponential utility of the terminal wealth. By using techniques of stochastic control theory, closed-form expressions for the value function and optimal strategy are obtained. A Monte Carlo simulation is conducted to illustrate that the closed-form expressions we derived are indeed the optimal strategies, and some numerical examples are presented to analyse the impact of model parameters on the optimal strategies.

On a Closed-Form Solution of Prandtl's System of Equations

2013 ◽  
Vol 40 (2) ◽  
pp. 106-114
Author(s):  
J. Venetis ◽  
Aimilios (Preferred name Emilios) Sideridis
Keyword(s):  
Closed Form ◽  
Closed Form Solution ◽  
Form Solution ◽  
System Of Equations
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