Optimal stopping made easy
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Publication:878006
DOI10.1016/J.JMATECO.2006.09.009zbMATH Open1280.91185OpenAlexW3123821706MaRDI QIDQ878006FDOQ878006
Authors: Svetlana Boyarchenko, Sergei Levendorskiĭ 
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
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Sums of independent random variables; random walks (60G50) Corporate finance (dividends, real options, etc.) (91G50) Stopping times; optimal stopping problems; gambling theory (60G40)
Cites Work
- The pricing of options and corporate liabilities
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- Option pricing: A simplified approach
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- Lean trees -- a general approach for improving performance of lattice models for option pricing
- Perpetual American Options Under Lévy Processes
- American options: the EPV pricing model
- Some remarks on first passage of Lévy processes, the American put and pasting principles
- Optimal capital structure and endogenous default
- Optimal stopping and perpetual options for Lévy processes
- ON ERRORS AND BIAS OF FOURIER TRANSFORM METHODS IN QUADRATIC TERM STRUCTURE MODELS
Cited In (16)
- Real Options in Leasing: The Effect of Idle Time
- Real Options
- Option pricing: A simplified approach
- Smoothing sudden stops
- Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk
- Investment timing in presence of downside risk: a certainty equivalent characterization
- Irreversible decisions under uncertainty. Optimal stopping made easy
- The simple analytics of sudden stops
- Real options: a framework of optimal switching
- A continuous-time search model with job switch and jumps
- The optimal stopping problem revisited
- Valuation of real options using the minimal entropy martingale measure
- Optimal payout policy in presence of downside risk
- Numerical procedure of addressing the optimal stopping time of employer's profile formation option in continuous time
- Discrete time modeling of mean-reverting stochastic processes for real option valuation
- Optimal stopping problems in Lévy models with random observations
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