A generalized complementarity approach for evaluating entry-exit options in incomplete markets
| Project/Area Number |
22710138
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Single-year Grants |
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| Research Field |
Social systems engineering/Safety system
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| Research Institution | The University of Electro-Communications |
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Principal Investigator |
NAGAE Takeshi 電気通信大学, 大学院・情報システム学研究科, 准教授 (30379482)
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| Project Period (FY) |
2010 – 2011
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| Project Status |
Completed (Fiscal Year 2011)
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| Budget Amount *help |
¥3,510,000 (Direct Cost: ¥2,700,000、Indirect Cost: ¥810,000)
Fiscal Year 2011: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
Fiscal Year 2010: ¥1,950,000 (Direct Cost: ¥1,500,000、Indirect Cost: ¥450,000)
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| Keywords | OR / 非完備市場リアルオプション / リアル・オプション / 非完備市場 / 一般化相補性問題 |
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| Research Abstract |
In this article, we develop a novel method for pricing entry-exit option problems in incomplete markets. We first consider a project with cash flow streams, whose stochastic dynamics is correlated to a financial market. We then formulate the problem of finding an arbitrage price of that project as well as its optimal entry-exit timing. Finally, we show that the problem can be reduces to a dynamics system of nonlinear generalized complementarity problems.
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Report
(3 results)
Research Products
(3 results)
