The Structure Of The Stopping Region In A Lévy Model
Year:
2012Published in:
Theory of Probability and Mathematical StatisticsThe optimal stopping problem in a L´evy model is investigated. We show that the stopping region is nonempty for a wide class of models and payoff functions. In the general case, we establish sufficient conditions on the payoff function that provide nonemptiness of the stopping region. For a zero discounting rate we also give conditions for the stopping region to have a threshold structure.
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