2010 Fiscal Year Final Research Report
Dynamic Analysis of Management Strategies via Complex Real Options Theory
| Project/Area Number |
20530340
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Business administration
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| Research Institution | Kyoto University |
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Principal Investigator |
EGAMI Masahiko Kyoto University, 経済学研究科, 教授 (40467395)
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| Project Period (FY) |
2008 – 2010
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| Keywords | リアルオプション / ファイナンス工学 |
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| Research Abstract |
In the framework of stochastic optimization problems of one-dimensional diffusion processes, we are able to solve complex real options problems where the firm has multiple options that could enhance its profitability. We characterize the value functions and associated optimal strategies in a rigorous manner so that we can systematically solve problems in a direct way. More specifically, we handled optimal switching problems (such as optimal plant utilization), optimal reinsurance problems and dividend payout problems under fixed cost and delay, optimal invest timing problems with convertible debt financing, and continuous-time job search problems. In each problem, we clarifies economic implications that the solution has and hence we make the solution more valuable when implementing the models in real-life problems. As a consequence, these papers are published in venerable refereed journals.
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