Optimal stopping in Levy models, for non-monotone discontinuous payoffs
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.
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- Svetlana Boyarchenko & Sergei Levendorskii, 2006.
"General option exercise rules, with applications to embedded options and monopolistic expansion,"
2006 Meeting Papers
312, Society for Economic Dynamics.
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- 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, vol. 48(1), pages 311-342, 02.
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- Svetlana Boyarchenko, 2004. "Irreversible Decisions and Record-Setting News Principles," American Economic Review, American Economic Association, vol. 94(3), pages 557-568, June.
- Svetlana Boyarchenko & Sergei Levendorskii, 2005.
"American options: the EPV pricing model,"
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- Ernesto Mordecki, 2002. "Optimal stopping and perpetual options for Lévy processes," Finance and Stochastics, Springer, vol. 6(4), pages 473-493.
- Boyarchenko, Svetlana & Levendorskii[caron], Sergei, 2007.
"Optimal stopping made easy,"
Journal of Mathematical Economics,
Elsevier, vol. 43(2), pages 201-217, February.
- Mitya Boyarchenko & Sergei Levendorskiĭ, 2009. "Prices And Sensitivities Of Barrier And First-Touch Digital Options In Lévy-Driven Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(08), pages 1125-1170.
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- Boyarchenko, Svetlana & Levendorskii, Sergei, 2008. "Exit problems in regime-switching models," Journal of Mathematical Economics, Elsevier, vol. 44(2), pages 180-206, January.
- Michael D. Whinston, 1988. "Exit with Multiplant Firms," RAND Journal of Economics, The RAND Corporation, vol. 19(4), pages 568-588, Winter.
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