An approach for solving perpetual optimal stopping problems driven by Lévy processes
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Publication:3429349
DOI10.1080/17442500601108508zbMath1156.60026OpenAlexW2012087674MaRDI QIDQ3429349
Publication date: 30 March 2007
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442500601108508
Optimal stopping problemAmerican put-type optionsLevy process and Wiener-Hopf factorizationPrinciples of smooth and continuous pasting
Processes with independent increments; Lévy processes (60G51) Stochastic models in economics (91B70) Stopping times; optimal stopping problems; gambling theory (60G40)
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