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Properties of the optimal stopping domain in the Lévy model


Author: A. G. Moroz
Translated by: S. Kvasko
Original publication: Teoriya Imovirnostei ta Matematichna Statistika, tom 87 (2012).
Journal: Theor. Probability and Math. Statist. 87 (2013), 163-170
MSC (2010): Primary 60G40, 60G51
DOI: https://doi.org/10.1090/S0094-9000-2014-00914-X
Published electronically: March 21, 2014
MathSciNet review: 3241453
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Abstract | References | Similar Articles | Additional Information

Abstract: The optimal exercise problem is considered for an American type contingent claim in a Lévy financial market model. Sufficient conditions are proposed under which the stopping domain is non-empty and has the threshold structure.


References [Enhancements On Off] (What's this?)

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  • 2. A. Moroz and G. Shevchenko, The structure of the stopping region in a Lévy model, Teor. Imovir. Matem. Statyst. 84 (2011), 102-110; English transl. in Theor. Probability and Math. Statist. 84 (2012), 107-115. MR 2857421 (2012j:60107)
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Additional Information

A. G. Moroz
Affiliation: Department of Probability Theory and Mathematical Statistics, Faculty for Mechanics and Mathematics, National Taras Shevchenko University, Academician Glushkov Avenue, 6, Kyiv 03127, Ukraine
Email: mag-87@inbox.ru

DOI: https://doi.org/10.1090/S0094-9000-2014-00914-X
Keywords: L\'evy model, stopping domain, non-emptiness, threshold structure
Received by editor(s): September 19, 2012
Published electronically: March 21, 2014
Article copyright: © Copyright 2014 American Mathematical Society

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