...
  • 主题
高级搜索  >
历史搜索 清空历史
首页> 外文期刊>Journal of Economic Dynamics and Control >A generalized complementarity approach to solving real option problems
【24h】

A generalized complementarity approach to solving real option problems

机译：解决实物期权问题的广义互补方法

获取原文
获取原文并翻译 | 示例
           
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

This article provides a unified framework for analyzing a wide variety of real option problems. These problems include the frequently studied, simple real option problems, as described in Dixit and Pindyck [1994. Investment Under Uncertainty. Princeton University Press, Princeton] for example, but also problems with more complicated and realistic assumptions. We reveal that all the real option problems belonging to the more general class considered in this study are described by the same mathematical structure, which can be solved by applying a computational algorithm developed in the field of mathematical programming. More specifically, all of the present real option problems can be directly solved by reformulating their optimality condition as a dynamical system of generalized linear complementarity problems (GLCPs). This enables us to develop an efficient and robust algorithm for solving a broad range of real option problems in a unified manner, exploiting recent advances in the theory of complementarity problems.
机译：本文提供了用于分析各种实物期权问题的统一框架。这些问题包括经常研究的，简单的实物期权问题，如Dixit和Pindyck [1994年。不确定性下的投资。例如，普林斯顿大学出版社，普林斯顿大学，但也存在更复杂，更现实的假设的问题。我们发现，本研究中考虑的属于更一般类别的所有实物期权问题均由相同的数学结构描述，这可以通过应用在数学程序设计领域开发的计算算法来解决。更具体地说，所有当前的实物期权问题都可以通过将其最优性条件重新构造为广义线性互补问题（GLCP）的动力学系统来直接解决。这使我们能够利用互补问题理论的最新进展，开发出一种高效且鲁棒的算法，以统一的方式解决各种实物期权问题。

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号