Tadao Oryu

Kyoto University - Graduate School of Economics

Japan

SCHOLARLY PAPERS

2

DOWNLOADS

80

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Options on Multiple Assets in a Mean-Reverting Model

Number of pages: 17 Posted: 02 May 2010
Masahiko Egami and Tadao Oryu
Kyoto University and Kyoto University - Graduate School of Economics
Downloads 62 (364,216)

Abstract:

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options on multiple assets, optimal stopping, mean-reverting model, exercise boundaries

2.

Optimal Stopping When the Absorbing Boundary is Following After

Number of pages: 14 Posted: 03 Aug 2013
Masahiko Egami and Tadao Oryu
Kyoto University and Kyoto University - Graduate School of Economics
Downloads 18 (553,866)
Citation 1

Abstract:

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High leverage, Bank Failure, Optimal stopping, excursion theory