Optimal Impulse Control for Cash Management with Double Exponential Jump Diffusion Processes
نویسندگان
چکیده
منابع مشابه
Stochastic Cash Management Problem with Double Exponential Jump Diffusion Processes
In this paper, we investigate the effect of a sharp cash level fluctuation resulting from the inflow and outflow of a large amount of cash and how the cash balance is managed. We describe the cash level evolution as stochastic jump-diffusion process with double exponential distributed jump size, and formulate a cash management model for minimizing the sum of the transaction and holding-penalty ...
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ژورنال
عنوان ژورنال: International Journal of Real Options and Strategy
سال: 2018
ISSN: 2186-4667
DOI: 10.12949/ijros.6.45