On the Continuous and Smooth Fit Principle for Optimal Stopping Problems in Spectrally Negative Lévy Models
From MaRDI portal
Publication:5415097
DOI10.1239/aap/1396360107zbMath1398.60062arXiv1104.4563OpenAlexW2019949062MaRDI QIDQ5415097
Masahiko Egami, Kazutoshi Yamazaki
Publication date: 9 May 2014
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1104.4563
Related Items
Beating the omega clock: an optimal stopping problem with random time-horizon under spectrally negative Lévy models ⋮ Optimality of Two-Parameter Strategies in Stochastic Control ⋮ Inventory Control for Spectrally Positive Lévy Demand Processes ⋮ Contraction options and optimal multiple-stopping in spectrally negative Lévy models ⋮ Phase-type Fitting of scale functions for spectrally negative Lévy processes ⋮ Optimality of hybrid continuous and periodic barrier strategies in the dual model
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Optimal stopping problems for some Markov processes
- A note on scale functions and the time value of ruin for Lévy insurance risk processes
- Applied stochastic control of jump diffusions.
- Smoothness of scale functions for spectrally negative Lévy processes
- On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes
- The McKean stochastic game driven by a spectrally negative Lévy process
- Exponential decay and ergodicity of completely asymmetric Lévy processes in a finite interval
- Optimal stopping and perpetual options for Lévy processes
- On the properties of \(r\)-excessive mappings for a class of diffusions
- Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
- On the valuation of constant barrier options under spectrally one-sided exponential Lévy models and Carr's approximation for American puts.
- Optimal capital structure and endogenous default
- Default swap games driven by spectrally negative Lévy processes
- Optimal stopping of strong Markov processes
- Optimal dividends in the dual model under transaction costs
- Phase-type Fitting of scale functions for spectrally negative Lévy processes
- Irreversible decisions under uncertainty. Optimal stopping made easy
- Principles of smooth and continuous fit in the determination of endogenous bankruptcy levels
- On the optimal dividend problem for a spectrally negative Lévy process
- Introductory lectures on fluctuations of Lévy processes with applications.
- Some remarks on first passage of Lévy processes, the American put and pasting principles
- On the optimal stopping problem for one-dimensional diffusions.
- An Elementary Approach to Optimal Stopping Problems for AR(1) Sequences
- A harmonic function technique for the optimal stopping of diffusions
- Optimal stopping, Appell polynomials, and Wiener–Hopf factorization
- The Theory of Scale Functions for Spectrally Negative Lévy Processes
- CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK
- Optimal stopping of Hunt and Lévy processes
- An approach for solving perpetual optimal stopping problems driven by Lévy processes
- The Shepp–Shiryaev Stochastic Game Driven by a Spectrally Negative Lévy Process
- Optimal Stopping of One-Dimensional Diffusions
- Optimal Stopping of Regular Diffusions under Random Discounting
- First passage times of a jump diffusion process
- Free boundary problems and perpetual American strangles
- ON OPTIMAL DIVIDENDS IN THE DUAL MODEL
- Precautionary measures for credit risk management in jump models
- Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process
- Evaluating Scale Functions of Spectrally Negative Lévy Processes
- American step-up and step-down default swaps under Lévy models
