Jukka Lempa On Infinite
نویسنده
چکیده
The objective of this study is to provide an alternative characterization of the optimal value function of a certain BlackScholes-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. JEL Classification: G35, G31, C44, Q23
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