Optimal harvesting when the exchange rate is a semimartingale (Q413921): Difference between revisions
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Property / author: Q413920 / rank | |||
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Property / author: Edward M. Lungu / rank | |||
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Summary: We consider harvesting in the Black-Scholes Quanto market when the exchange rate is being modeled by the process \(E_t = E_0 \exp \{X_t\}\), where \(X_t\) is a semimartingale, and we ask the following question: What harvesting strategy \(\gamma^\ast\) and the value function \(\Phi \) maximize the expected total income of an investment? We formulate a singular stochastic control problem and give sufficient conditions for the existence of an optimal strategy. We found that, if the value function is not too sensitive to changes in the prices of the investments, the problem reduces to that of Lungu and Øksendal. However, the general solution of this problem still remains elusive. | |||
Property / review text: Summary: We consider harvesting in the Black-Scholes Quanto market when the exchange rate is being modeled by the process \(E_t = E_0 \exp \{X_t\}\), where \(X_t\) is a semimartingale, and we ask the following question: What harvesting strategy \(\gamma^\ast\) and the value function \(\Phi \) maximize the expected total income of an investment? We formulate a singular stochastic control problem and give sufficient conditions for the existence of an optimal strategy. We found that, if the value function is not too sensitive to changes in the prices of the investments, the problem reduces to that of Lungu and Øksendal. However, the general solution of this problem still remains elusive. / rank | |||
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Property / Mathematics Subject Classification ID: 93E20 / rank | |||
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Property / Mathematics Subject Classification ID: 49K45 / rank | |||
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Property / Mathematics Subject Classification ID: 91G10 / rank | |||
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Property / zbMATH DE Number: 6031632 / rank | |||
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Black-Scholes Quanto market | |||
Property / zbMATH Keywords: Black-Scholes Quanto market / rank | |||
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Property / zbMATH Keywords | |||
semimartingale | |||
Property / zbMATH Keywords: semimartingale / rank | |||
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singular stochastic control problem | |||
Property / zbMATH Keywords: singular stochastic control problem / rank | |||
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sufficient conditions | |||
Property / zbMATH Keywords: sufficient conditions / rank | |||
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Property / Wikidata QID: Q58688955 / rank | |||
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Property / MaRDI profile type: MaRDI publication profile / rank | |||
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Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1155/2011/942478 / rank | |||
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Property / OpenAlex ID: W2010770972 / rank | |||
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Property / cites work | |||
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Latest revision as of 04:34, 5 July 2024
scientific article
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English | Optimal harvesting when the exchange rate is a semimartingale |
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Optimal harvesting when the exchange rate is a semimartingale (English)
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8 May 2012
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Summary: We consider harvesting in the Black-Scholes Quanto market when the exchange rate is being modeled by the process \(E_t = E_0 \exp \{X_t\}\), where \(X_t\) is a semimartingale, and we ask the following question: What harvesting strategy \(\gamma^\ast\) and the value function \(\Phi \) maximize the expected total income of an investment? We formulate a singular stochastic control problem and give sufficient conditions for the existence of an optimal strategy. We found that, if the value function is not too sensitive to changes in the prices of the investments, the problem reduces to that of Lungu and Øksendal. However, the general solution of this problem still remains elusive.
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Black-Scholes Quanto market
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semimartingale
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singular stochastic control problem
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sufficient conditions
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