AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING
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Publication:2947345
DOI10.1142/S0219024915500326zbMath1337.91157arXiv1505.07705MaRDI QIDQ2947345
Kazutoshi Yamazaki, Tim Leung, Hongzhong Zhang
Publication date: 22 September 2015
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1505.07705
Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (11)
Optimality of multi-refraction control strategies in the dual model ⋮ On optimal periodic dividend strategies for Lévy risk processes ⋮ Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Lévy Models ⋮ On the optimality of periodic barrier strategies for a spectrally positive Lévy process ⋮ Double continuation regions for American options under Poisson exercise opportunities ⋮ On optimal periodic dividend and capital injection strategies for spectrally negative Lévy models ⋮ The Leland-Toft optimal capital structure model under Poisson observations ⋮ Optimal Periodic Replenishment Policies for Spectrally Positive Lévy Demand Processes ⋮ On the optimality of threshold type strategies in single and recursive optimal stopping under Lévy models ⋮ Optimality of hybrid continuous and periodic barrier strategies in the dual model ⋮ American options under stochastic volatility: control variates, maturity randomization & multiscale asymptotics
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