This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

On Infinite Horizon Optimal Stopping of General Random Walk

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Jukka Lempa () (Department of Economics, Quantitative Methods in Management, Turku School of Economics)
Abstract

The objective of this study is to provide an alternative characterization of the optimal value function of a certain Black- Scholes-type optimal stopping problem where the underlying stochastic process is a general random walk, i.e. the process constituted by partial sums of an IID sequence of random variables. Furthermore, the pasting principle of this optimal stopping problem is studied.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. 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.

File URL: http://www.ace-economics.fi/kuvat/ACE3%20Lempa.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by Aboa Centre for Economics in its series Discussion Papers with number 3.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 18
Date of creation: Apr 2006
Date of revision:
Handle: RePEc:tkk:dpaper:dp3

Contact details of provider:
Postal: Rehtorinpellonkatu 3, FIN-20500 TURKU
Phone: +358 2 481 481
Fax: +358 2 481 4299
Web page: http://ace-economics.fi
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Aleksandra Maslowska).

Related research
Keywords: General random walk; optimal stopping; minimal functions; continuous pasting;

Find related papers by JEL classification:
G35 - Financial Economics - - Corporate Finance and Governance - - - Payout Policy
G31 - Financial Economics - - Corporate Finance and Governance - - - Capital Budgeting; Investment Policy
C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Statistical Decision Theory; Operations Research
Q23 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Renewable Resources and Conservation - - - Forestry

This paper has been announced in the following NEP Reports:

References listed on IDEAS
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.:
  1. Ernesto Mordecki, 2002. "Optimal stopping and perpetual options for Lévy processes," Finance and Stochastics, Springer, vol. 6(4), pages 473-493. [Downloadable!] (restricted)
  2. Svetlana Boyarchenko & Sergei Levendorskii, 2004. "Practical guide to real options in discrete time," Finance 0405016, EconWPA. [Downloadable!]
    Other versions:
  3. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June. [Downloadable!] (restricted)
Full references

Statistics
Access and download statistics

Did you know? You too can volunteer with RePEc.

This page was last updated on 2009-11-10.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.