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• W2950651208 abstract "This paper studies the optimal multiple-stopping problem arising in the context of the timing option to withdraw from a project in stages. The profits are driven by a general spectrally negative Levy process. This allows the model to incorporate sudden declines of the project values, generalizing greatly the classical geometric Brownian motion model. We solve the one-stage case as well as the extension to the multiple-stage case. The optimal stopping times are of threshold-type and the value function admits an expression in terms of the scale function. A series of numerical experiments are conducted to verify the optimality and to evaluate the efficiency of the algorithm." @default.
• W2950651208 created "2019-06-27" @default.
• W2950651208 creator A5006852482 @default.
• W2950651208 date "2012-09-09" @default.
• W2950651208 modified "2023-09-26" @default.
• W2950651208 title "Contraction options and optimal multiple-stopping in spectrally negative Levy models" @default.
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• W2950651208 doi "https://doi.org/10.48550/arxiv.1209.1790" @default.
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