Optimal Stopping in Lévy Models for Nonmonotone Discontinuous Payoffs
نویسندگان
چکیده
We give short proofs of general theorems about optimal entry and exit problems in Lévy 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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عنوان ژورنال:
- SIAM J. Control and Optimization
دوره 49 شماره
صفحات -
تاریخ انتشار 2011