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The effect of small intervention costs on the optimal extraction of dividends and renewable resources in a jump-diffusion model
Framstad, Nils Chr. - 2014 - This version November 27, 2014
A risk-neutral agent optimizes extraction of dividends or renewable natural resources modelled by a jump-diffusion stock process, where the optimal strategy is characterized as the minimal intervention required to keep the stock process inside a given region. The introduction of a small fixed...
Persistent link: https://www.econbiz.de/10010436722
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The effect of small intervention costs on the optimal extraction of dividends and renewable resources in a jump-diffusion model
Framstad, Nils Chr. - 2014
A risk-neutral agent optimizes extraction of dividends or renewable natural resources modelled by a jump-diffusion stock process, where the optimal strategy is characterized as the minimal intervention required to keep the stock process inside a given region. The introduction of a small fixed...
Persistent link: https://www.econbiz.de/10011335599
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The Effect of Small Intervention Costs on the Optimal Extraction of Dividends and Renewable Resources in a Jump-Diffusion Model
Framstad, Nils Chr. - Økonomisk institutt, Universitetet i Oslo - 2014
A risk-neutral agent optimizes extraction of dividends or renewable natural resources modelled by a jump-diffusion stock process, where the optimal strategy is characterized as the minimal intervention required to keep the stock process inside a given region. The introduction of a small fixed...
Persistent link: https://www.econbiz.de/10011171785