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Some remarks on first passage of Levy processes, the American put and pasting principles

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Cited by:

  1. Dai, Darong, 2011. "Time as an Endogenous Random Variable Smoothly Embedded into Preference Manifold," MPRA Paper 40182, University Library of Munich, Germany.
  2. 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.
  3. 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.
  4. Tim Leung & Kazutoshi Yamazaki & Hongzhong Zhang, 2015. "An Analytic Recursive Method For Optimal Multiple Stopping: Canadization And Phase-Type Fitting," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(05), pages 1-31.
  5. Lingfei Li & Vadim Linetsky, 2015. "Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach," Finance and Stochastics, Springer, vol. 19(4), pages 941-977, October.
  6. Keller, Godfrey & Rady, Sven, 2015. "Breakdowns," Theoretical Economics, Econometric Society, vol. 10(1), January.
  7. Royi Jacobovic, 2022. "Regulation of a single-server queue with customers who dynamically choose their service durations," Queueing Systems: Theory and Applications, Springer, vol. 101(3), pages 245-290, August.
  8. 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.
  9. Erhan Bayraktar, 2007. "A Proof of the Smoothness of the Finite Time Horizon American Put Option for Jump Diffusions," Papers math/0703782, arXiv.org, revised Dec 2008.
  10. Chi, Zhiyi, 2016. "On exact sampling of the first passage event of a Lévy process with infinite Lévy measure and bounded variation," Stochastic Processes and their Applications, Elsevier, vol. 126(4), pages 1124-1144.
  11. Dayanik, Savas & Sezer, Semih O., 2006. "Sequential testing of simple hypotheses about compound Poisson processes," Stochastic Processes and their Applications, Elsevier, vol. 116(12), pages 1892-1919, December.
  12. 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.
  13. Pérez, José-Luis & Yamazaki, Kazutoshi, 2018. "American options under periodic exercise opportunities," Statistics & Probability Letters, Elsevier, vol. 135(C), pages 92-101.
  14. 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.
  15. Boyarchenko, Svetlana & Levendorskii[caron], Sergei, 2007. "Optimal stopping made easy," Journal of Mathematical Economics, Elsevier, vol. 43(2), pages 201-217, February.
  16. Tine Compernolle & Kuno J. M. Huisman & Peter M. Kort & Maria Lavrutich & Cláudia Nunes & Jacco J. J. Thijssen, 2021. "Investment Decisions with Two-Factor Uncertainty," JRFM, MDPI, vol. 14(11), pages 1-17, November.
  17. Armerin, Fredrik, 2023. "Investments with declining cost following a Lévy process," European Journal of Operational Research, Elsevier, vol. 304(3), pages 1052-1062.
  18. Neofytos Rodosthenous & Hongzhong Zhang, 2020. "When to sell an asset amid anxiety about drawdowns," Papers 2006.00282, arXiv.org.
  19. Dai, Darong, 2011. "Modeling the minimum time needed to economic maturity," MPRA Paper 40583, University Library of Munich, Germany, revised 08 Aug 2012.
  20. Bo, Lijun & Song, Renming & Tang, Dan & Wang, Yongjin & Yang, Xuewei, 2012. "Lévy risk model with two-sided jumps and a barrier dividend strategy," Insurance: Mathematics and Economics, Elsevier, vol. 50(2), pages 280-291.
  21. Tim Siu-Tang Leung & Kazutoshi Yamazaki, 2010. "American Step-Up and Step-Down Default Swaps under Levy Models," Papers 1012.3234, arXiv.org, revised Sep 2012.
  22. Baurdoux, E.J. & Kyprianou, A.E. & Pardo, J.C., 2011. "The Gapeev-Kühn stochastic game driven by a spectrally positive Lévy process," Stochastic Processes and their Applications, Elsevier, vol. 121(6), pages 1266-1289, June.
  23. 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.
  24. 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.
  25. Erhan Bayraktar, 2009. "On the perpetual American put options for level dependent volatility models with jumps," Quantitative Finance, Taylor & Francis Journals, vol. 11(3), pages 335-341.
  26. 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.
  27. Kwaśnicki, Mateusz & Małecki, Jacek & Ryznar, Michał, 2013. "First passage times for subordinate Brownian motions," Stochastic Processes and their Applications, Elsevier, vol. 123(5), pages 1820-1850.
  28. Medvedev, Alexey & Scaillet, Olivier, 2010. "Pricing American options under stochastic volatility and stochastic interest rates," Journal of Financial Economics, Elsevier, vol. 98(1), pages 145-159, October.
  29. Anna Battauz & Marzia De Donno & Alessandro Sbuelz, 2015. "Real Options and American Derivatives: The Double Continuation Region," Management Science, INFORMS, vol. 61(5), pages 1094-1107, May.
  30. Çağlar, M. & Kyprianou, A. & Vardar-Acar, C., 2022. "An optimal stopping problem for spectrally negative Markov additive processes," Stochastic Processes and their Applications, Elsevier, vol. 150(C), pages 1109-1138.
  31. 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.
  32. Rama Cont & Cecilia Mancini, 2010. "Nonparametric tests for pathwise properties of semimartingales," Working Papers - Mathematical Economics 2010-02, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  33. Nicole El Karoui & Asma Meziou, 2008. "Max-Plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance," Papers 0804.2561, arXiv.org.
  34. Shi, Zhan, 2019. "Time-varying ambiguity, credit spreads, and the levered equity premium," Journal of Financial Economics, Elsevier, vol. 134(3), pages 617-646.
  35. Curdin Ott, 2014. "Bottleneck options," Finance and Stochastics, Springer, vol. 18(4), pages 845-872, October.
  36. Egami, Masahiko & Leung, Tim & Yamazaki, Kazutoshi, 2013. "Default swap games driven by spectrally negative Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 123(2), pages 347-384.
  37. Giorgio Ferrari & Paavo Salminen, 2014. "Irreversible Investment under L\'evy Uncertainty: an Equation for the Optimal Boundary," Papers 1411.2395, arXiv.org.
  38. Masahiko Egami & Kazutoshi Yamazaki, 2010. "Solving Optimal Dividend Problems via Phase-Type Fitting Approximation of Scale Functions," Discussion papers e-10-011, Graduate School of Economics Project Center, Kyoto University.
  39. Zbigniew Palmowski & Jos'e Luis P'erez & Budhi Arta Surya & Kazutoshi Yamazaki, 2019. "The Leland-Toft optimal capital structure model under Poisson observations," Papers 1904.03356, arXiv.org, revised Mar 2020.
  40. 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.
  41. Zbigniew Palmowski & José Luis Pérez & Budhi Arta Surya & Kazutoshi Yamazaki, 2020. "The Leland–Toft optimal capital structure model under Poisson observations," Finance and Stochastics, Springer, vol. 24(4), pages 1035-1082, October.
  42. Nunes, Cláudia & Pimentel, Rita, 2017. "Analytical solution for an investment problem under uncertainties with shocks," European Journal of Operational Research, Elsevier, vol. 259(3), pages 1054-1063.
  43. 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.
  44. R. Stockbridge, 2014. "Discussion of dynamic programming and linear programming approaches to stochastic control and optimal stopping in continuous time," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 77(1), pages 137-162, January.
  45. Su, Xia, 2006. "A New Approach to the Irreversible Investment Problem," Bonn Econ Discussion Papers 21/2006, University of Bonn, Bonn Graduate School of Economics (BGSE).
  46. 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.
  47. M'onica B. Carvajal Pinto & Kees van Schaik, 2019. "Optimally stopping at a given distance from the ultimate supremum of a spectrally negative L\'evy process," Papers 1904.11911, arXiv.org, revised Jul 2020.
  48. 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.
  49. Dai, Darong & Shen, Kunrong, 2012. "A New Stationary Game Equilibrium Induced by Stochastic Group Evolution and Rational Individual Choice," MPRA Paper 40586, University Library of Munich, Germany, revised 09 Aug 2012.
  50. Pavel V. Gapeev, 2006. "Perpetual Barrier Options in Jump-Diffusion Models," SFB 649 Discussion Papers SFB649DP2006-058, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  51. Shantanu Awasthi & Indranil SenGupta, 2020. "First exit-time analysis for an approximate Barndorff-Nielsen and Shephard model with stationary self-decomposable variance process," Papers 2006.07167, arXiv.org, revised Jan 2021.
  52. Lan Wu & Jiang Zhou & Shuang Yu, 2017. "Occupation Times of General Lévy Processes," Journal of Theoretical Probability, Springer, vol. 30(4), pages 1565-1604, December.
  53. Luis Alvarez & Teppo Rakkolainen, 2009. "Optimal payout policy in presence of downside risk," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(1), pages 27-58, March.
  54. Gapeev, Pavel V., 2008. "The integral option in a model with jumps," Statistics & Probability Letters, Elsevier, vol. 78(16), pages 2623-2631, November.
  55. 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.
  56. Hernández-Hernández, Daniel & Yamazaki, Kazutoshi, 2015. "Games of singular control and stopping driven by spectrally one-sided Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 125(1), pages 1-38.
  57. Jonas Al-Hadad & Zbigniew Palmowski, 2020. "Perpetual American options with asset-dependent discounting," Papers 2007.09419, arXiv.org, revised Jan 2021.
  58. Dai, Darong & Shen, Kunrong, 2012. "A new stationary game equilibrium induced by stochastic group evolution and rational Individual choice," MPRA Paper 40133, University Library of Munich, Germany.
  59. Dai, Darong, 2011. "Modeling the minimum time needed to economic maturity," MPRA Paper 40386, University Library of Munich, Germany, revised 31 Jul 2012.
  60. Boyarchenko, Svetlana & Levendorskii, Sergei, 2008. "Exit problems in regime-switching models," Journal of Mathematical Economics, Elsevier, vol. 44(2), pages 180-206, January.
  61. Flavia Barsotti, 2012. "Optimal Capital Structure with Endogenous Default and Volatility Risk," Working Papers - Mathematical Economics 2012-02, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
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