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.
- Language
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Englisch
- Bibliographic citation
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Series: Discussion paper ; No. 9
- Classification
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Wirtschaft
Optimization Techniques; Programming Models; Dynamic Analysis
Portfolio Choice; Investment Decisions
Asset Pricing; Trading Volume; Bond Interest Rates
- Subject
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jump diffusions
optimal stopping
nonlinear programming
perpetual American options
- Event
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Geistige Schöpfung
- (who)
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Alvarez, Luis H. R.
Rakkolainen, Teppo A.
- Event
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Veröffentlichung
- (who)
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Aboa Centre for Economics (ACE)
- (where)
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Turku
- (when)
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2006
- Handle
- Last update
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10.03.2025, 11:42 AM CET
Data provider
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Object type
- Arbeitspapier
Associated
- Alvarez, Luis H. R.
- Rakkolainen, Teppo A.
- Aboa Centre for Economics (ACE)
Time of origin
- 2006
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