On Infinite Horizon Optimal Stopping of General Random Walk
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.
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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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