Optimal Stopping in Levy Models, for Non-Monotone Discontinuous Payoffs
24 Pages Posted: 8 Sep 2010
Date Written: September 6, 2010
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 an discontinuous payoffs
JEL Classification: C61, D81
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