44 citations · 231 across the 45 of their papers we have counts for
3 papers · 1 filter
On the Bail-Out Optimal Dividend Problem
José-Luis Pérez, Kazutoshi Yamazaki, Xiang Yu
This paper studies the optimal dividend problem with capital injection under the constraint that the cumulative dividend strategy is absolutely continuous. We consider an open prob…
An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting
Tim Leung, Kazutoshi Yamazaki, Hongzhong Zhang
We study an optimal multiple stopping problem for call-type payoff driven by a spectrally negative Levy process. The stopping times are separated by constant refraction times, and…
Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Levy Models
Tim Leung, Kazutoshi Yamazaki, Hongzhong Zhang
This paper studies a class of optimal multiple stopping problems driven by Lévy processes. Our model allows for a negative effective discount rate, which arises in a number of fina…