Optimal Stopping in Lévy Models for Nonmonotone Discontinuous Payoffs

Authors:
Svetlana Boyarchenko;Sergei Levendorskiiˇ
Affiliations:
sboyarch@eco.utexas.edu;sl278@le.ac.uk
Venue:
SIAM Journal on Control and Optimization
Year:
2011

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Abstract

We give short proofs of general theorems about optimal entry and exit problems in Lévy 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.