Arbeitspapier
A Class of Solvable Optimal Stopping Problems of Spectrally Negative Jump Diffusions
We consider the optimal stopping of a class of spectrally negative jump diffusions. We state a set of conditions under which the value is shown to have a representation in terms of an ordinary nonlinear programming problem. We establish a connection between the considered problem and a stopping problem of an associated continuous diffusion process and demonstrate how this connection may be applied for characterizing the stopping policy and its value. We also establish a set of typically satisfied conditions under which increased volatility as well as higher jump-intensity decelerates rational exercise by increasing the value and expanding the continuation region.
- Sprache
-
Englisch
- Erschienen in
-
Series: Discussion paper ; No. 9
- Klassifikation
-
Wirtschaft
Optimization Techniques; Programming Models; Dynamic Analysis
Portfolio Choice; Investment Decisions
Asset Pricing; Trading Volume; Bond Interest Rates
- Thema
-
jump diffusions
optimal stopping
nonlinear programming
perpetual American options
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Alvarez, Luis H. R.
Rakkolainen, Teppo A.
- Ereignis
-
Veröffentlichung
- (wer)
-
Aboa Centre for Economics (ACE)
- (wo)
-
Turku
- (wann)
-
2006
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Alvarez, Luis H. R.
- Rakkolainen, Teppo A.
- Aboa Centre for Economics (ACE)
Entstanden
- 2006
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