Properties of the optimal stopping domain in the Lévy model

DOI10.1090/S0094-9000-2014-00914-XzbMath1310.60043MaRDI QIDQ2923390

A. G. Moroz

Publication date: 15 October 2014

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

zbMATH Keywords

threshold structureLévy financial market modeloptimal stopping domain

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80)

Cites Work

• Exercise regions of American options on several assets
• The critical price for the American put in an exponential Lévy model
• On Threshold Strategies and the Smooth-Fit Principle for Optimal Stopping Problems
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