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

Boyarchenko, Svetlana and Levendorskii, Sergei (2010): Optimal stopping in Levy models, for non-monotone discontinuous payoffs. Unpublished.

Abstract

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: optimal stopping, Levy processes, non-monotone discontinuous payoffs
• Subjects: D - Microeconomics > D8 - Information, Knowledge, and Uncertainty > D81 - Criteria for Decision-Making under Risk and Uncertainty; C - Mathematical and Quantitative Methods > C6 - Mathematical Methods and Programming > C61 - Optimization Techniques; Programming Models; Dynamic Analysis

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