On an optimal extraction problem with regime switching
نویسندگان
چکیده
منابع مشابه
An Explicit Solution to an Optimal Stopping Problem with Regime Switching
We investigate an optimal stopping time problem which arises from pricing Russian options (i.e. perpetual look-back options) on a stock whose price fluctuations are modelled by adjoining a hidden Markov process to the classical Black–Scholes geometric Brownian motion model. By extending the technique of smooth fit to allow jump discontinuities, we obtain an explicit closed-form solution. It giv...
متن کاملRegime switching in stochastic models of commodity prices: An application to an optimal tree harvesting problem
This paper investigates whether a regime switching model of stochastic lumber prices is better for the analysis of optimal harvesting problems in forestry than a more traditional single regime model. Prices of lumber derivatives are used to calibrate a regime switching model, with each of two regimes characterized by a different mean reverting process. A single regime, mean reverting process is...
متن کاملOn the timing of non-renewable resource extraction with regime switching prices: an optimal stochastic control approach
On the timing of non-renewable resource extraction with regime switching prices This paper develops a model of a profit maximizing firm with the option to exploit a nonrenewable resource, choosing the timing and pace of development. The resource price is modelled as a regime switching process, which is calibrated to oil futures prices. A HamiltonJacobi-Bellman equation is specified that describ...
متن کاملExplicit Solution to an Optimal Switching Problem in the Two-Regime Case
This paper considers the problem of determining the optimal sequence of stopping times for a diffusion process subject to regime switching decisions. This is motivated in the economics literature, by the investment problem under uncertainty for a multiactivity firm involving opening and closing decisions. We use a viscosity solutions approach combined with the smooth-fit property, and explicitl...
متن کاملOptimal dividend distribution under Markov regime switching
In this paper we investigate the problem of optimal dividend distribution in the presence of regime shifts. We consider a company whose cumulative net revenues evolve as a drifted Brownian motion modulated by a finite state Markov chain, and model the discount rate as a deterministic function of the current state of the chain. The objective is to maximize the expected cumulative discounted divi...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Advances in Applied Probability
سال: 2018
ISSN: 0001-8678,1475-6064
DOI: 10.1017/apr.2018.31