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2011 Fiscal Year Final Research Report

A generalized complementarity approach for evaluating entry-exit options in incomplete markets

Research Project

  • PDF
Project/Area Number 22710138
Research Category

Grant-in-Aid for Young Scientists (B)

Allocation TypeSingle-year Grants
Research Field Social systems engineering/Safety system
Research InstitutionThe University of Electro-Communications

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)

Project Period (FY) 2010 – 2011
KeywordsOR / 非完備市場リアルオプション
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.

  • Research Products

    (2 results)

All 2010 2009

All Presentation (2 results)

  • [Presentation] 市場の非完備性を考慮した参入・撤退オプション2010

    • Author(s)
      長江剛志・藤田順平
    • Organizer
      日本リアル・オプション学会
    • Year and Date
      20101100
  • [Presentation] 非完備市場リスクを考慮した参入・撤退オプション問題2009

    • Author(s)
      長江剛志・藤田順平
    • Organizer
      金融工学・数理計量ファイナンスの諸問題2009
    • Year and Date
      20091200

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Published: 2013-07-31  

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