Intensity-based framework and penalty formulation of optimal stopping problems

DOI10.1016/J.JEDC.2007.01.016MaRDI QIDQ1029998zbMATH OpenOpenAlexWikidataFDO

Authors Min Dai, Yue Kuen Kwok, Hong You

Publication date 1 July 2009

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL http://repository.ust.hk/ir/bitstream/1783.1-3303/1/Int_Bas.pdf

zbMATH Keywords

penalty methodcallable featureevent riskintensity approachlinear complementarity formulationmortgage prepayment

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) PDEs with randomness, stochastic partial differential equations (35R60) Stopping times; optimal stopping problems; gambling theory (60G40) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

• scientific article; zbMATH DE number 3899626 (Why is no real title available?)
• scientific article; zbMATH DE number 1061253 (Why is no real title available?)
• scientific article; zbMATH DE number 815352 (Why is no real title available?)
• A penalty method for American options with jump diffusion processes
• A reduced form model for ESO valuation. Modelling the effects of employee departure and takeovers on the value of employee share options
• AN INTENSITY-BASED APPROACH TO THE VALUATION OF MORTGAGE CONTRACTS AND COMPUTATION OF THE ENDOGENOUS MORTGAGE RATE
• Effects of callable feature on early exercise policy
• Optimal policies of call with notice period requirement
• Penalty methods for American options with stochastic volatility
• Quadratic convergence for valuing American options using a penalty method
• The Valuation of Executive Stock Options in an Intensity-Based Framework *
• Valuation of American options in the presence of event risk

Cited in

(16)

• Valuation of equity-linked life insurance contracts with surrender guarantees in a regime-switching rational expectation model
• Optimal decision for selling an illiquid stock
• An efficient and provable sequential quadratic programming method for American and swing option pricing
• Generalized BSDE and reflected BSDE with random time horizon
• Guaranteed minimum withdrawal benefit in variable annuities
• Enhanced equity-credit modelling for contingent convertibles
• Costly arbitrage through pairs trading
• Optimal stock selling/buying strategy with reference to the ultimate average
• Behavioral value adjustments
• Hiring, firing, and relocation under employment protection
• An implicit scheme for American put options
• Stochastic control representations for penalized backward stochastic differential equations
• Pricing corporate debt with finite maturity and chapter 11 proceedings
• The effect of policyholders' rationality on unit-linked life insurance contracts with surrender guarantees
• The uncertain mortality intensity framework: pricing and hedging unit-linked life insurance contracts
• Optimal redeeming strategy of stock loans with finite maturity

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