Boyarchenko, Svetlana and Levendorskii, Sergei (2010): Optimal stopping in Levy models, for nonmonotone discontinuous payoffs.

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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 nonmonotone. 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 

Original Title:  Optimal stopping in Levy models, for nonmonotone discontinuous payoffs 
Language:  English 
Keywords:  optimal stopping, Levy processes, nonmonotone discontinuous payoffs 
Subjects:  D  Microeconomics > D8  Information, Knowledge, and Uncertainty > D81  Criteria for DecisionMaking under Risk and Uncertainty C  Mathematical and Quantitative Methods > C6  Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C61  Optimization Techniques ; Programming Models ; Dynamic Analysis 
Item ID:  27999 
Depositing User:  Svetlana Boyarchenko 
Date Deposited:  14 Jan 2011 01:40 
Last Modified:  26 Sep 2019 15:29 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/27999 