The structure of the stopping region in a Lévy model

DOI10.1090/S0094-9000-2012-00864-8zbMath1279.60053MaRDI QIDQ2849252

A. G. Moroz, Georgiy M. Shevchenko

Publication date: 17 September 2013

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

zbMATH Keywords

Lévy processespayoff functionAmerican optionthreshold structurestopping region

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40)

Cites Work

• Exercise regions of American options on several assets
• The critical price for the American put in an exponential Lévy model
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