Optimal Stopping in Levy Models, for Non-Monotone Discontinuous Payoffs
24 Pages Posted: 8 Sep 2010
Date Written: September 6, 2010
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.
Keywords: Optimal stopping, Levy processes, non-monotone an discontinuous payoffs
JEL Classification: C61, D81
Suggested Citation: Suggested Citation
Boyarchenko, Svetlana I. and Levendorskii, Sergei Z., Optimal Stopping in Levy Models, for Non-Monotone Discontinuous Payoffs (September 6, 2010). Available at SSRN: https://ssrn.com/abstract=1673034 or http://dx.doi.org/10.2139/ssrn.1673034
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