Optimal Stopping in Levy Models, for Non-Monotone Discontinuous Payoffs

24 Pages Posted: 8 Sep 2010

See all articles by Svetlana Boyarchenko

Svetlana Boyarchenko

University of Texas at Austin - Department of Economics

Sergei Levendorskii

Calico Science Consulting

Date Written: September 6, 2010

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 an discontinuous payoffs

JEL Classification: C61, D81

Suggested Citation

Boyarchenko, Svetlana I. and Levendorskii, Sergei Z., Optimal Stopping in Levy Models, for Non-Monotone Discontinuous Payoffs (September 6, 2010). Available at SSRN: https://ssrn.com/abstract=1673034 or http://dx.doi.org/10.2139/ssrn.1673034

Svetlana I. Boyarchenko (Contact Author)

University of Texas at Austin - Department of Economics ( email )

Austin, TX 78712
United States

Sergei Z. Levendorskii

Calico Science Consulting ( email )

Austin, TX
United States

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