Optimal Stopping in Lévy Models for Nonmonotone Discontinuous Payoffs

DOI10.1137/100808204zbMath1246.60064OpenAlexW3123142271MaRDI QIDQ3115881

Svetlana Boyarchenko, Sergei Levendorskii

Publication date: 11 February 2012

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://mpra.ub.uni-muenchen.de/27999/1/MPRA_paper_27999.pdf

zbMATH Keywords

Lévy processesoptimal stoppingnon-monotone discontinuous payoffs

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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