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• W2019949062 abstract "We consider a class of infinite time horizon optimal stopping problems for spectrally negative Lévy processes. Focusing on strategies of threshold type, we write explicit expressions for the corresponding expected payoff via the scale function, and further pursue optimal candidate threshold levels. We obtain and show the equivalence of the continuous/smooth fit condition and the first-order condition for maximization over threshold levels. As examples of its applications, we give a short proof of the McKean optimal stopping problem (perpetual American put option) and solve an extension to Egami and Yamazaki (2013)." @default.
• W2019949062 created "2016-06-24" @default.
• W2019949062 creator A5006852482 @default.
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• W2019949062 date "2014-03-01" @default.
• W2019949062 modified "2023-10-15" @default.
• W2019949062 title "On the Continuous and Smooth Fit Principle for Optimal Stopping Problems in Spectrally Negative Lévy Models" @default.
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• W2019949062 doi "https://doi.org/10.1239/aap/1396360107" @default.
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