Optimizing venture capital investments in a jump diffusion model-Reference-Cited by-同舟云学术

Optimizing venture capital investments in a jump diffusion model

Published:2007-09-25 Issue:1 Volume:67 Page:21-42
ISSN:1432-2994
Container-title:Mathematical Methods of Operations Research
language:en
Short-container-title:Math Meth Oper Res

Author:

Bayraktar Erhan,Egami Masahiko

Publisher

Springer Science and Business Media LLC

Subject

Management Science and Operations Research,General Mathematics,Software

Link

http://link.springer.com/content/pdf/10.1007/s00186-007-0181-x.pdf

Reference18 articles.

1. Avram F, Palmowski Z and Pistorius M (2007). On the optimal dividend problem for a spectrally negative Lévy processes. Ann Appl Probab 17(1): 156–180

2. Bayraktar E, Egami M (2006) A unified treatment of dividend payment problems under fixed cost and implementation delay (Submitted), http://arxiv.org/abs/math.OC/0703825

3. Buckley IRC and Korn R (1998). Optimal index tracking under transaction costs and impulse control. Int J Theor Appl Finance 1(3): 315–330

4. Dassios A and Embrechts P (1989). Martingales and insurance risk. Comm Stat Stoch Models 5: 181–217

5. Davis M, Schachermayer W and Tompkins R (2004). The evaluation of venture capital as an instalment option. Zeitschrift für Betriebswirtschaft 3: 77–96

Cited by 60 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Nonzero-Sum Optimal Stopping Game with Continuous vs. Periodic Exercise Opportunities;Mathematics of Operations Research;2024-07-29

2. Stable dividends under linear-quadratic optimisation;Quantitative Finance;2023-07-24

3. A comonotonic approximation to optimal terminal wealth under a multivariate Merton model with correlated jump risk;Applied Mathematics and Computation;2023-05

4. A state-dependent dual risk model;International Journal of Financial Engineering;2023-04-12

5. Numerical Method for a Risk Model with Two-Sided Jumps and Proportional Investment;Mathematics;2023-03-24