Optimal stopping made easy

DOI10.1016/j.jmateco.2006.09.009zbMath1280.91185OpenAlexW3123821706MaRDI QIDQ878006

Svetlana Boyarchenko, Sergei Levendorskii

Publication date: 4 May 2007

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmateco.2006.09.009

zbMATH Keywords

real optionsembedded optionsexpected present value operators

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Stopping times; optimal stopping problems; gambling theory (60G40) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (4)

Investment timing in presence of downside risk: a certainty equivalent characterization ⋮ Optimal payout policy in presence of downside risk ⋮ A continuous-time search model with job switch and jumps ⋮ Optimal stopping problems in Lévy models with random observations

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• American options: the EPV pricing model
• Lean trees -- a general approach for improving performance of lattice models for option pricing
• Optimal stopping and perpetual options for Lévy processes
• Optimal capital structure and endogenous default
• Some remarks on first passage of Lévy processes, the American put and pasting principles
• Perpetual American Options Under Lévy Processes
• ON ERRORS AND BIAS OF FOURIER TRANSFORM METHODS IN QUADRATIC TERM STRUCTURE MODELS
• Option pricing: A simplified approach

This page was built for publication: Optimal stopping made easy