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.
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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;
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