44 citations · 84 across the 22 of their papers we have counts for
23 papers
A dual characterization and algorithm of general optimal stopping
Masahiko Egami, Tomohiro Koike
We present a novel dual approach to characterizing the solution to optimal stopping problems for strong Feller processes on locally compact, separable metric spaces. Our characteri…
A potential-theoretic approach to optimal stopping in a spectrally Lévy Model
Masahiko Egami, Tomohiro Koike
We establish a systematic solution method for optimal stopping problems of spectrally negative Lévy processes. Our approach relies essentially on potential theory, that is, on the…
On Decomposition of the Last Passage Time of Diffusions
Masahiko Egami, Rusudan Kevkhishvili
For a regular transient diffusion, we provide a decomposition of its last passage time to a certain state . This is accomplished by transforming the original diffusion into two…
Loss-Given-Default Modeling by Post-Last Passage Time Process
Masahiko Egami, Rusudan Kevkhishvili
This study proposes a stochastic model for loss-given-default (LGD) which provides the LGD distribution based on credit market and company-specific financial conditions. The model…
A Direct Solution Method for Pricing Options in Regime-switching Models
Masahiko Egami, Rusudan Kevkhishvili
Pricing financial or real options with arbitrary payoffs in regime-switching models is an important problem in finance. Mathematically, it is to solve, under certain standard assum…
Time Reversal and Last Passage Time of Diffusions with Applications to Credit Risk Management
Masahiko Egami, Rusudan Kevkhishvili
We study time reversal, last passage time, and -transform of linear diffusions. For general diffusions with killing, we obtain the probability density of the last passage time t…