Optimal stopping in Levy models, for non-monotone discontinuous payoffs
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- Thijssen, Jacco J.J. & Huisman, Kuno J.M. & Kort, Peter M., 2012.
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Keywordsoptimal stopping; Levy processes; non-monotone discontinuous payoffs;
- 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
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