A Note on Markov Decision Process for Stock Option Model: a New Proof
سال انتشار: 1400
نوع سند: مقاله کنفرانسی
زبان: انگلیسی
مشاهده: 293
فایل این مقاله در 6 صفحه با فرمت PDF قابل دریافت می باشد
- صدور گواهی نمایه سازی
- من نویسنده این مقاله هستم
استخراج به نرم افزارهای پژوهشی:
شناسه ملی سند علمی:
ONSM01_016
تاریخ نمایه سازی: 31 مرداد 1400
چکیده مقاله:
Markov decision processes, also known as stochastic dynamic programs or stochastic controlproblems, are models for sequential decision making when outcomes are uncertain. In this paper,first, the stock option model is briefly introduced. Then, an optimality equation is obtained usingMarkov decision process. The optimality equation is a recursive equation and it is concluded that thereis no simple rule for obtaining an explicit solution for the optimality equation. Anyway, this equationhas some properties that yield the structure of the optimal policy. These properties are proved usinginduction approach. Finally application of this new proof is illustrated using two examples.
کلیدواژه ها:
نویسندگان
Hasan Rasay
Assistant Professor of Industrial Engineering, Kermanshah University of Technology; Kermanshah, Iran
Mohammad Saber Fallhanezad
Associate Professor of Industrial Engineering, Yazd University, Yazd, Iran
Aiet Ahmadi
Master student of Industrial Engineering, Payame Noor University,Tehran, Iran