On the optimality of threshold type strategies in single and recursive optimal stopping under Lévy models-Reference-Cited by-同舟云学术

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On the optimality of threshold type strategies in single and recursive optimal stopping under Lévy models

Published:2019-08 Issue:8 Volume:129 Page:2821-2849
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Long Mingsi,Zhang Hongzhong^ORCID

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Reference24 articles.

1. Some remarks on first passage of Lévy processes, the American put and pasting principles;Alili;Ann. Appl. Probab.,2005

2. Lévy Processes;Bertoin,1996

3. Optimal multiple stopping and valuation of swing options;Carmona;Math. Financ.,2008

4. Optimal stopping problems for some Markov processes;Cissé;Ann. Appl. Probab.,2012

5. Optimal stopping of linear diffusions with random discounting;Dayanik;Math. Oper. Res.,2008

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2. Perpetual American Options with Asset-Dependent Discounting;Applied Mathematics & Optimization;2023-12-18

3. On Singular Control for Lévy Processes;Mathematics of Operations Research;2022-09-19

4. The Leland–Toft optimal capital structure model under Poisson observations;Finance and Stochastics;2020-07-17

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