https://scholars.lib.ntu.edu.tw/handle/123456789/625037
標題: | A note on randomized Shepp's urn scheme | 作者: | Hung Y.-C. YING-CHAO HUNG |
關鍵字: | Optimal drawing policy; Shepp's urn scheme; Stopping time; The k in the hole policy | 公開日期: | 2009 | 卷: | 309 | 期: | 6 | 起(迄)頁: | 1749-1759 | 來源出版物: | Discrete Mathematics | 摘要: | Shepp's urn model is a useful tool for analyzing the stopping-rule problems in economics and finance. In [R.W. Chen, A. Zame, C.T. Lin, H. Wu, A random version of Shepp's urn scheme, SIAM J. Discrete Math. 19 (1) (2005) 149-164], Chen et al. considered a random version of Shepp's urn scheme and showed that a simple drawing policy (called "the k in the hole policy") can asymptotically maximize the expected value of the game. By extending the work done by Chen et al., this note considers a more general urn scheme that is better suited to real-life price models in which the short-term value might not fluctuate. Further, "the k in the hole policy" is shown to be asymptotically optimal for this new urn scheme. © 2008 Elsevier B.V. All rights reserved. |
URI: | https://www.scopus.com/inward/record.uri?eid=2-s2.0-62149083026&doi=10.1016%2fj.disc.2008.02.017&partnerID=40&md5=3a369a17dd5d0e7f8eb7a43e219d8cdd https://scholars.lib.ntu.edu.tw/handle/123456789/625037 |
ISSN: | 0012365X | DOI: | 10.1016/j.disc.2008.02.017 | SDG/關鍵字: | Asymptotic analysis; Asymptotically optimal; Expected values; Optimal drawing policy; Price models; Shepp's urn scheme; Stopping time; Term values; The k in the hole policy; Urn models; Optimization |
顯示於: | 工業工程學研究所 |
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