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Optimal stopping and perpetual options for Lévy processes

Citations

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Cited by:

  1. Ferrari, Giorgio & Salminen, Paavo, 2016. "Irreversible Investment under Lévy Uncertainty: an Equation for the Optimal Boundary," Center for Mathematical Economics Working Papers 530, Center for Mathematical Economics, Bielefeld University.
  2. Robert Elliott & Leunglung Chan, 2004. "Perpetual American options with fractional Brownian motion," Quantitative Finance, Taylor & Francis Journals, vol. 4(2), pages 123-128.
  3. Neofytos Rodosthenous & Hongzhong Zhang, 2020. "When to sell an asset amid anxiety about drawdowns," Mathematical Finance, Wiley Blackwell, vol. 30(4), pages 1422-1460, October.
  4. Aase, Knut K, 2005. "The perpetual American put option for jump-diffusions with applications," University of California at Los Angeles, Anderson Graduate School of Management qt31g898nz, Anderson Graduate School of Management, UCLA.
  5. Carolyn E. Phelan & Daniele Marazzina & Guido Germano, 2021. "Pricing methods for $\alpha$-quantile and perpetual early exercise options based on Spitzer identities," Papers 2106.06030, arXiv.org.
  6. Gapeev Pavel V. & Rodosthenous Neofytos, 2013. "Perpetual American options in a diffusion model with piecewise-linear coefficients," Statistics & Risk Modeling, De Gruyter, vol. 30(1), pages 1-21, March.
  7. Zhang, Xiang & Li, Lingfei & Zhang, Gongqiu, 2021. "Pricing American drawdown options under Markov models," European Journal of Operational Research, Elsevier, vol. 293(3), pages 1188-1205.
  8. Ming-Chi Chang & Yuan-Chung Sheu & Ming-Yao Tsai, 2015. "Pricing Perpetual American Compound Options under a Matrix-Exponential Jump-Diffusion Model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 22(6), pages 553-575, December.
  9. Jaap H. Abbring, 0000. "Mixed Hitting-Time Models," Tinbergen Institute Discussion Papers 07-057/3, Tinbergen Institute, revised 11 Aug 2009.
  10. Kleinert, Florian & van Schaik, Kees, 2015. "A variation of the Canadisation algorithm for the pricing of American options driven by Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 125(8), pages 3234-3254.
  11. Davis, Graham A. & Cairns, Robert D., 2012. "Good timing: The economics of optimal stopping," Journal of Economic Dynamics and Control, Elsevier, vol. 36(2), pages 255-265.
  12. Yu-Ting Chen & Cheng Few Lee & Yuan-Chung Sheu, 2020. "An ODE Approach for the Expected Discounted Penalty at Ruin in a Jump-Diffusion Model," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 41, pages 1561-1598, World Scientific Publishing Co. Pte. Ltd..
  13. Cartea, Álvaro & del-Castillo-Negrete, Diego, 2007. "Fractional diffusion models of option prices in markets with jumps," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 374(2), pages 749-763.
  14. Ming-Chi Chang & Yuan-Chung Sheu, 2013. "Free boundary problems and perpetual American strangles," Quantitative Finance, Taylor & Francis Journals, vol. 13(8), pages 1149-1155, July.
  15. L. Alili & A. E. Kyprianou, 2005. "Some remarks on first passage of Levy processes, the American put and pasting principles," Papers math/0508487, arXiv.org.
  16. Philipp N. Baecker, 2007. "Real Options and Intellectual Property," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-540-48264-2, October.
  17. Jaap H. Abbring, 2012. "Mixed Hitting‐Time Models," Econometrica, Econometric Society, vol. 80(2), pages 783-819, March.
  18. Bilkic, Natasa & Gries, Thomas, 2012. "When to Attack an Oppressive Government?," VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 62031, Verein für Socialpolitik / German Economic Association.
  19. Marzia De Donno & Zbigniew Palmowski & Joanna Tumilewicz, 2020. "Double continuation regions for American and Swing options with negative discount rate in Lévy models," Mathematical Finance, Wiley Blackwell, vol. 30(1), pages 196-227, January.
  20. Gapeev, Pavel V., 2008. "The integral option in a model with jumps," Statistics & Probability Letters, Elsevier, vol. 78(16), pages 2623-2631, November.
  21. Luis H. R. Alvarez & Teppo A. Rakkolainen, 2006. "A Class of Solvable Optimal Stopping Problems of Spectrally Negative Jump Diffusions," Discussion Papers 9, Aboa Centre for Economics.
  22. Pérez, José-Luis & Yamazaki, Kazutoshi, 2018. "American options under periodic exercise opportunities," Statistics & Probability Letters, Elsevier, vol. 135(C), pages 92-101.
  23. Denis Belomestny & Markus Reiß, 2006. "Spectral calibration of exponential Lévy models," Finance and Stochastics, Springer, vol. 10(4), pages 449-474, December.
  24. Baurdoux, Erik J. & Kyprianou, Andreas E., 2004. "Further calculations for Israeli options," LSE Research Online Documents on Economics 23916, London School of Economics and Political Science, LSE Library.
  25. S. G. Kou & Hui Wang, 2004. "Option Pricing Under a Double Exponential Jump Diffusion Model," Management Science, INFORMS, vol. 50(9), pages 1178-1192, September.
  26. Donatella Danielli & Arshak Petrosyan & Camelia A. Pop, 2017. "Obstacle problems for nonlocal operators," Papers 1709.10384, arXiv.org, revised Oct 2017.
  27. Lee, Sangjun & Zhao, Jinhua & Thornsbury, Suzanne, 2013. "Extreme Events and Land Use Decisions under Climate Change in Tart Cherry Industry in Michigan," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. 150568, Agricultural and Applied Economics Association.
  28. Leippold, Markus & Vasiljević, Nikola, 2017. "Pricing and disentanglement of American puts in the hyper-exponential jump-diffusion model," Journal of Banking & Finance, Elsevier, vol. 77(C), pages 78-94.
  29. Ning Cai & Wei Zhang, 2020. "Regime Classification and Stock Loan Valuation," Operations Research, INFORMS, vol. 68(4), pages 965-983, July.
  30. Mingsi Long & Hongzhong Zhang, 2017. "On the optimality of threshold type strategies in single and recursive optimal stopping under L\'evy models," Papers 1707.07797, arXiv.org, revised Aug 2018.
  31. Armerin, Fredrik, 2023. "Investments with declining cost following a Lévy process," European Journal of Operational Research, Elsevier, vol. 304(3), pages 1052-1062.
  32. Michi Nishihara & Takashi Sshibata, 2011. "Investment timing with fixed and proportional costs of external financing," Discussion Papers in Economics and Business 11-29, Osaka University, Graduate School of Economics.
  33. Tim Leung & Kazutoshi Yamazaki & Hongzhong Zhang, 2015. "Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Levy Models," Papers 1505.07313, arXiv.org.
  34. Yong-Chao Zhang, 2017. "Entry–Exit Decisions with Underlying Processes Following Geometric Lévy Processes," Journal of Optimization Theory and Applications, Springer, vol. 172(1), pages 309-327, January.
  35. Chuancun Yin & Yuzhen Wen & Zhaojun Zong & Ying Shen, 2013. "The first passage time problem for mixed-exponential jump processes with applications in insurance and finance," Papers 1302.6762, arXiv.org, revised Jun 2014.
  36. Shi, Zhan, 2019. "Time-varying ambiguity, credit spreads, and the levered equity premium," Journal of Financial Economics, Elsevier, vol. 134(3), pages 617-646.
  37. Giorgio Ferrari & Paavo Salminen, 2014. "Irreversible Investment under L\'evy Uncertainty: an Equation for the Optimal Boundary," Papers 1411.2395, arXiv.org.
  38. Gapeev Pavel V. & Kühn Christoph, 2005. "Perpetual convertible bonds in jump-diffusion models," Statistics & Risk Modeling, De Gruyter, vol. 23(1/2005), pages 15-31, January.
  39. Armerin, Fredrik, 2020. "Investments with declining cost following a Lévy process," Working Paper Series 20/14, Royal Institute of Technology, Department of Real Estate and Construction Management & Banking and Finance.
  40. Jukka Lempa, 2008. "On infinite horizon optimal stopping of general random walk," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 67(2), pages 257-268, April.
  41. Jonas Al-Hadad & Zbigniew Palmowski, 2020. "Perpetual American options with asset-dependent discounting," Papers 2007.09419, arXiv.org, revised Jan 2021.
  42. Barrieu, Pauline & Bellamy, N., 2007. "Optimal hitting time and perpetual option in a non-Lévy model: application to real options," LSE Research Online Documents on Economics 5099, London School of Economics and Political Science, LSE Library.
  43. Wang, Xunxiao & Wu, Chongfeng & Xu, Weidong, 2015. "When to buy or sell in supply chains with the presence of mergers," International Journal of Production Economics, Elsevier, vol. 163(C), pages 137-145.
  44. Ludovic Mathys, 2019. "Valuing Tradeability in Exponential L\'evy Models," Papers 1912.00469, arXiv.org, revised Feb 2020.
  45. Zbigniew Palmowski & José Luis Pérez & Kazutoshi Yamazaki, 2021. "Double continuation regions for American options under Poisson exercise opportunities," Mathematical Finance, Wiley Blackwell, vol. 31(2), pages 722-771, April.
  46. Christian Flor & Simon Hansen, 2013. "Technological advances and the decision to invest," Annals of Finance, Springer, vol. 9(3), pages 383-420, August.
  47. Long, Mingsi & Zhang, Hongzhong, 2019. "On the optimality of threshold type strategies in single and recursive optimal stopping under Lévy models," Stochastic Processes and their Applications, Elsevier, vol. 129(8), pages 2821-2849.
  48. Kazutoshi Yamazaki, 2016. "Optimality of two-parameter strategies in stochastic control," Papers 1605.04995, arXiv.org.
  49. Christensen, Sören & Salminen, Paavo & Ta, Bao Quoc, 2013. "Optimal stopping of strong Markov processes," Stochastic Processes and their Applications, Elsevier, vol. 123(3), pages 1138-1159.
  50. Boyarchenko, Svetlana & Levendorskii, Sergei, 2010. "Optimal stopping in Levy models, for non-monotone discontinuous payoffs," MPRA Paper 27999, University Library of Munich, Germany.
  51. Thomas J. Sargent & John Stachurski, 2024. "Dynamic Programming: Finite States," Papers 2401.10473, arXiv.org.
  52. Christensen, Sören, 2014. "On the solution of general impulse control problems using superharmonic functions," Stochastic Processes and their Applications, Elsevier, vol. 124(1), pages 709-729.
  53. Zbigniew Palmowski & Jos'e Luis P'erez & Kazutoshi Yamazaki, 2020. "Double continuation regions for American options under Poisson exercise opportunities," Papers 2004.03330, arXiv.org.
  54. Hervé Roche, 2022. "The implications of tax loss carryforwards on investment policy," Mathematics and Financial Economics, Springer, volume 16, number 6, June.
  55. Asmussen, Søren & Avram, Florin & Pistorius, Martijn R., 2004. "Russian and American put options under exponential phase-type Lévy models," Stochastic Processes and their Applications, Elsevier, vol. 109(1), pages 79-111, January.
  56. Chi, Yichun, 2010. "Analysis of the expected discounted penalty function for a general jump-diffusion risk model and applications in finance," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 385-396, April.
  57. Albert Ferreiro-Castilla & Kees van Schaik, 2013. "Applying the Wiener-Hopf Monte Carlo simulation technique for Levy processes to path functionals such as first passage times, undershoots and overshoots," Papers 1306.3923, arXiv.org, revised Mar 2014.
  58. Gapeev, Pavel V. & Stoev, Yavor I., 2017. "On the Laplace transforms of the first exit times in one-dimensional non-affine jump–diffusion models," Statistics & Probability Letters, Elsevier, vol. 121(C), pages 152-162.
  59. Pavel V. Gapeev, 2006. "Integral Options in Models with Jumps," SFB 649 Discussion Papers SFB649DP2006-068, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  60. Neofytos Rodosthenous & Hongzhong Zhang, 2020. "When to sell an asset amid anxiety about drawdowns," Papers 2006.00282, arXiv.org.
  61. Alexander Novikov & Albert Shiryaev, 2006. "On a Solution of the Optimal Stopping Problem for Processes with Independent Increments," Research Paper Series 178, Quantitative Finance Research Centre, University of Technology, Sydney.
  62. Christensen, Sören & Irle, Albrecht, 2009. "A note on pasting conditions for the American perpetual optimal stopping problem," Statistics & Probability Letters, Elsevier, vol. 79(3), pages 349-353, February.
  63. Soren Christensen, 2011. "A method for pricing American options using semi-infinite linear programming," Papers 1103.4483, arXiv.org, revised Jun 2011.
  64. Neofytos Rodosthenous & Hongzhong Zhang, 2017. "Beating the Omega Clock: An Optimal Stopping Problem with Random Time-horizon under Spectrally Negative L\'evy Models," Papers 1706.03724, arXiv.org.
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