화학공학소재연구정보센터
SIAM Journal on Control and Optimization, Vol.49, No.5, 2062-2082, 2011
OPTIMAL STOPPING IN LEVY MODELS FOR NONMONOTONE DISCONTINUOUS PAYOFFS
We give short proofs of general theorems about optimal entry and exit problems in Levy models, when payoff streams may have discontinuities and be nonmonotone. As applications, we consider exit and entry problems in the theory of real options and an entry problem with an embedded option to exit.