Dynamic Analysis of Management Strategies via Complex Real Options Theory

在一维扩散过程的随机优化问题的框架中，我们能够解决复杂的实物期权问题，其中企业有多种期权可以提高其盈利能力。我们以严谨的方式描述价值函数和相关的最优策略，以便我们可以系统地直接解决问题。更具体地说，我们处理了最优转换问题（如最优工厂利用率），最优再保险问题和固定成本和延迟下的股息支付问题，可转换债务融资的最优投资时机问题，以及连续时间求职问题。在每个问题中，我们都阐明了解决方案所具有的经济含义，因此，当在现实问题中实现模型时，我们使解决方案更有价值。因此，这些论文发表在受人尊敬的评审期刊上。

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.