Optimal stopping in Levy models, for non-monotone discontinuous payoffs
AbstractWe 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 27999.
Date of creation: Sep 2010
Date of revision:
optimal stopping; Levy processes; non-monotone discontinuous payoffs;
Find related papers by JEL classification:
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
This paper has been announced in the following NEP Reports:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Svetlana Boyarchenko & Sergey Levendorskiy, 2004.
"Optimal stopping made easy,"
- Asmussen, SÃ¸ren & Avram, Florin & Pistorius, Martijn R., 2004. "Russian and American put options under exponential phase-type LÃ©vy models," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 109(1), pages 79-111, January.
- Mitya Boyarchenko & Sergei LevendorskiÄ, 2009. "Prices And Sensitivities Of Barrier And First-Touch Digital Options In LÃ©vy-Driven Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., World Scientific Publishing Co. Pte. Ltd., vol. 12(08), pages 1125-1170.
- Kerry Back & Dirk Paulsen, 2009. "Open-Loop Equilibria and Perfect Competition in Option Exercise Games," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 22(11), pages 4531-4552, November.
- Svetlana Boyarchenko & Sergei Levendorski&icaron;, 2007.
"Practical Guide To Real Options In Discrete Time,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 48(1), pages 311-342, 02.
- Svetlana Boyarchenko & Sergei Levendorskii, 2004. "Practical guide to real options in discrete time," Papers cond-mat/0404106, arXiv.org.
- Sergey Levendorskiy & Svetlana Boyarchenko, 2004. "Practical guide to real options in discrete time," Computing in Economics and Finance 2004, Society for Computational Economics 137, Society for Computational Economics.
- Svetlana Boyarchenko & Sergei Levendorskii, 2004. "Practical guide to real options in discrete time," Finance, EconWPA 0405016, EconWPA.
- Boyarchenko, Svetlana & Levendorskii, Sergei, 2008. "Exit problems in regime-switching models," Journal of Mathematical Economics, Elsevier, vol. 44(2), pages 180-206, January.
- Frank Riedel, 2009. "Optimal Stopping With Multiple Priors," Econometrica, Econometric Society, Econometric Society, vol. 77(3), pages 857-908, 05.
- Boyarchenko Svetlana & Levendorskii Sergei Z, 2006.
"General Option Exercise Rules, with Applications to Embedded Options and Monopolistic Expansion,"
The B.E. Journal of Theoretical Economics, De Gruyter,
De Gruyter, vol. 6(1), pages 1-51, June.
- Svetlana Boyarchenko & Sergei Levendorskii, 2005. "General option exercise rules, with applications to embedded options and monopolistic expansion," Finance, EconWPA 0511001, EconWPA.
- Svetlana Boyarchenko & Sergei Levendorskii, 2006. "General option exercise rules, with applications to embedded options and monopolistic expansion," 2006 Meeting Papers, Society for Economic Dynamics 312, Society for Economic Dynamics.
- Steven R. Grenadier, 2002. "Option Exercise Games: An Application to the Equilibrium Investment Strategies of Firms," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 15(3), pages 691-721.
- Svetlana Boyarchenko & Sergei Levendorskii, 2005.
"American options: the EPV pricing model,"
Annals of Finance, Springer,
Springer, vol. 1(3), pages 267-292, 08.
- Ernesto Mordecki, 2002. "Optimal stopping and perpetual options for LÃ©vy processes," Finance and Stochastics, Springer, vol. 6(4), pages 473-493.
- Svetlana Boyarchenko, 2004. "Irreversible Decisions and Record-Setting News Principles," American Economic Review, American Economic Association, American Economic Association, vol. 94(3), pages 557-568, June.
- Michael D. Whinston, 1988. "Exit with Multiplant Firms," RAND Journal of Economics, The RAND Corporation, vol. 19(4), pages 568-588, Winter.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht).
If references are entirely missing, you can add them using this form.