Optimal stopping in Levy models, for non-monotone discontinuous payoffs

We give short proofs of general theorems about optimal entry and exit problems in Levy models, when payoff streams may have discontinuities and be non-monotone. As applications, we consider exit and entry problems in the theory of real options, and an entry problem with an embedded option to exit.

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Year of publication:	2010-09
Authors:	Boyarchenko, Svetlana ; Levendorskii, Sergei

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Boyarchenko, Svetlana and Levendorskii, Sergei (2010): Optimal stopping in Levy models, for non-monotone discontinuous payoffs.
Classification:	D81 - Criteria for Decision-Making under Risk and Uncertainty ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis
Source:	BASE

Persistent link: https://www.econbiz.de/10015225159