[英文文献] An Optimal Rule for Switching over to Renewable fuels with Lower Price Vola... [推广有奖]

0关注
0粉丝

等待验证会员

学前班

还不是VIP/贵宾

威望: 0 级
论坛币: 0 个
通用积分: 0
学术水平: 0 点
热心指数: 0 点
信用等级: 0 点
经验: 10 点
帖子: 0
精华: 0
在线时间: 0 小时
注册时间: 2020-9-22
最后登录: 2020-9-22

楼主

国际金融公司146 发表于 2006-3-9 08:57:52 |AI写论文

是否 +2 论坛币

k人参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

英文文献：An Optimal Rule for Switching over to Renewable fuels with Lower Price Volatility: A Case of Jump Diffusion Process-转换为价格波动较低的可再生燃料的最优规则:跳跃扩散过程的一个例子
英文文献作者：Sardana, Kavita,Bhattacharya, Subhra K.
英文文献摘要：
This study investigates the optimal switching boundary to a renewable fuel when oil prices exhibit continuous random fluctuations along with occasional discontinuous jumps. In this paper, oil prices are modeled to follow jump diffusion processes. A completeness result is derived. Given that the market is complete the value of a contingent claim is risk neutral expectation of the discounted pay off process. Using the contingent claim analysis of investment under uncertainty, the Hamilton-Jacobi-Bellman (HJB) equation is derived for finding value function and optimal switching boundary. We get a mixed differential-difference equation which would be solved using numerical methods.

摘要本文研究了当石油价格呈现连续随机波动并伴有偶然的不连续跳跃时，可再生燃料的最优切换边界问题。在本文中，石油价格模型遵循跳跃扩散过程。得到了完备性的结果。假设市场是完整的，或有债权的价值是贴现偿付过程的风险中性预期。利用不确定性条件下投资的或有权益分析，导出了求解价值函数和最优切换边界的哈密尔顿-雅可布-贝尔曼(HJB)方程。我们得到了一个混合微分-差分方程，用数值方法求解。