44 citations · 231 across the 45 of their papers we have counts for
5 papers · 1 filter
Refraction-reflection strategies in the dual model
José-Luis Pérez, Kazutoshi Yamazaki
We study the dual model with capital injection under the additional condition that the dividend strategy is absolutely continuous. We consider a refraction-reflection strategy that…
On the Refracted-Reflected Spectrally Negative Lévy Processes
José-Luis Pérez, Kazutoshi Yamazaki
We study a combination of the refracted and reflected Lévy processes. Given a spectrally negative Lévy process and two boundaries, it is reflected at the lower boundary while, when…
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…
Optimality of Refraction Strategies for Spectrally Negative Levy Processes
Daniel Hernandez-Hernandez, Jose-Luis Perez, Kazutoshi Yamazaki
We revisit a stochastic control problem of optimally modifying the underlying spectrally negative Levy process. A strategy must be absolutely continuous with respect to the Lebesgu…