Back to Search Start Over

OPTIMAL STOPPING IN LÉVY MODELS FOR NONMONOTONE DISCONTINUOUS PAYOFFS.

Authors :
Boyarghenko, Svetlana
Levendorskii, Sergei
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