Search Results - subject:"Spectrally negative Lévy processes"

Solving Optimal Dividend Problems via Phase-Type Fitting Approximation of Scale Functions

Egami, Masahiko; Yamazaki, Kazutoshi - Graduate School of Economics, Kyoto University - 2010

paper proposes a phase-type fitting approximation of the optimal strategy. We consider spectrally negative Lévy processes …

Persistent link: https://www.econbiz.de/10011067502

An excursion-theoretic approach to regulator's bank reorganization problem

Egami, Masahiko; Oryu, Tadao - In: Operations research 63 (2015) 3, pp. 527-539

Persistent link: https://www.econbiz.de/10011292279

Occupation times of intervals until first passage times for spectrally negative Lévy processes

Loeffen, Ronnie L.; Renaud, Jean-François; Zhou, Xiaowen - In: Stochastic Processes and their Applications 124 (2014) 3, pp. 1408-1435

negative Lévy processes. New analytical identities for scale functions are derived and therefore the results are explicitly …In this paper, we identify Laplace transforms of occupation times of intervals until first passage times for spectrally …

Persistent link: https://www.econbiz.de/10010738253

OPTIMAL CAPITAL STRUCTURE WITH SCALE EFFECTS UNDER SPECTRALLY NEGATIVE LÉVY MODELS

SURYA, BUDHI ARTA; YAMAZAKI, KAZUTOSHI - In: International Journal of Theoretical and Applied … 17 (2014) 02, pp. 1450013-1

The optimal capital structure model with endogenous bankruptcy was first studied by Leland (1994) and Leland & Toft (1996), and was later extended to the spectrally negative Lévy model by Hilberink Rogers (2002) and Kyprianou Surya (2007). This paper incorporates scale effects by allowing the...

Persistent link: https://www.econbiz.de/10011011264

Optimal capital structure with scale effects under spectrally negative Lévy models

Surya, Budhi Arta; Yamazaki, Kazutoshi - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-31

Persistent link: https://www.econbiz.de/10010363903