We consider a finite horizon optimal stopping problem. The value of the underlying process grows exponentially until a Poisson process jumps for the first time, at which the processes jumps to zero and stays there forever. As applications of this model we consider valuing real options and options written on the stock of a start-up company.QCR 20180604</p
Optimal stopping problems form a class of stochastic optimization problems that has a wide range of ...
This thesis deals with the explicit solution of optimal stopping problems with infinite time horizon...
We consider the problem of finding a stopping time that minimises the L 1-distance to θ, the time at...
In this paper we present an explicit solution to the infinite-horizon optimal stopping problem for p...
Given a spectrally negative Lévy process, we predict, in an $L_1$ sense, the last passage time of th...
Abstract. Optimal stopping of stochastic processes having both absolutely continuous and singular be...
We present an explicit solution to the formulated in [17] optimal stopping problem for a geometric c...
Consider a model of a financial market with a stock driven by a Lévy process and constant interest ...
We present solutions to some discounted optimal stopping problems for the maximum process in a model...
We present a closed form solution to be considered in Kramkov and Mordecki [Kramkov, D.O., Mordecki,...
AbstractWe consider optimal stopping of independent sequences. Assuming that the corresponding imbed...
Solving optimal stopping problems driven by Lévy processes has been a challenging task and has foun...
We study an insurance model where the risk can be controlled by reinsurance and investment in the fi...
In this paper we present closed form solutions of some discounted optimal stopping problems for the ...
AbstractThis paper is concerned with a finite-horizon optimal selling rule. A set of geometric Brown...
Optimal stopping problems form a class of stochastic optimization problems that has a wide range of ...
This thesis deals with the explicit solution of optimal stopping problems with infinite time horizon...
We consider the problem of finding a stopping time that minimises the L 1-distance to θ, the time at...
In this paper we present an explicit solution to the infinite-horizon optimal stopping problem for p...
Given a spectrally negative Lévy process, we predict, in an $L_1$ sense, the last passage time of th...
Abstract. Optimal stopping of stochastic processes having both absolutely continuous and singular be...
We present an explicit solution to the formulated in [17] optimal stopping problem for a geometric c...
Consider a model of a financial market with a stock driven by a Lévy process and constant interest ...
We present solutions to some discounted optimal stopping problems for the maximum process in a model...
We present a closed form solution to be considered in Kramkov and Mordecki [Kramkov, D.O., Mordecki,...
AbstractWe consider optimal stopping of independent sequences. Assuming that the corresponding imbed...
Solving optimal stopping problems driven by Lévy processes has been a challenging task and has foun...
We study an insurance model where the risk can be controlled by reinsurance and investment in the fi...
In this paper we present closed form solutions of some discounted optimal stopping problems for the ...
AbstractThis paper is concerned with a finite-horizon optimal selling rule. A set of geometric Brown...
Optimal stopping problems form a class of stochastic optimization problems that has a wide range of ...
This thesis deals with the explicit solution of optimal stopping problems with infinite time horizon...
We consider the problem of finding a stopping time that minimises the L 1-distance to θ, the time at...