Abstract
For wide classes of payoff functions and Levy processes, we solve perpetual restricted optimal stopping problems, when one exercise region is exogenously given (barrier like feature), and the other is chosen to optimize the option value, and straddle-like perpetual options, when the optimal exercise region is a union of two disjoint semi-infinite intervals.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
