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

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Publication Date
Keywords
  • D81 - Criteria For Decision-Making Under Risk And Uncertainty
  • C61 - Optimization Techniques
  • Programming Models
  • Dynamic Analysis
Disciplines
  • Mathematics

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.

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