Optimal stopping in Levy models, for non-monotone discontinuous payoffs

Svetlana Boyarchenko and Sergei Levendorskii

MPRA Paper from University Library of Munich, Germany

Abstract: 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.

Keywords: optimal stopping; Levy processes; non-monotone discontinuous payoffs (search for similar items in EconPapers)
JEL-codes: C61 D81 (search for similar items in EconPapers)
Date: 2010-09
New Economics Papers: this item is included in nep-ore
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:27999

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