44 citations · 231 across the 45 of their papers we have counts for
3 papers · 1 filter
Effects of positive jumps of assets on endogenous bankruptcy and optimal capital structure: Continuous- and periodic-observation models
Dante Mata López, José Luis Pérez, Kazutoshi Yamazaki
In this paper, we study the optimal capital structure model with endogenous bankruptcy when the firm's asset value follows an exponential Lévy process with positive jumps. In the L…
On singular control for Lévy processes
Kei Noba, Kazutoshi Yamazaki
We revisit the classical singular control problem of minimizing running and controlling costs. The problem arises in inventory control, as well as in healthcare management and math…
Double continuation regions for American options under Poisson exercise opportunities
Zbigniew Palmowski, José Luis Pérez, Kazutoshi Yamazaki
We consider the Lévy model of the perpetual American call and put options with a negative discount rate under Poisson observations. Similar to the continuous observation case as in…