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OPTIMAL STOPPING IN LÉVY MODELS FOR NONMONOTONE DISCONTINUOUS PAYOFFS.
- Source :
- SIAM Journal on Control & Optimization; 2011, Vol. 49 Issue 5, p2062-2082, 21p
- Publication Year :
- 2011
-
Abstract
- We give short proofs of general theorems about optimal entry and exit problems in Lévy models, when payoff streams may have discontinuities and be nonmonotone. As applications, we consider exit and entry problems in the theory of real options and an entry problem with all embedded option to exit. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 03630129
- Volume :
- 49
- Issue :
- 5
- Database :
- Complementary Index
- Journal :
- SIAM Journal on Control & Optimization
- Publication Type :
- Academic Journal
- Accession number :
- 71326013
- Full Text :
- https://doi.org/10.1137/100808204