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- W3122024794 abstract "This paper studies a class of optimal multiple stopping problems driven by L'evy processes. Our model allows for a negative effective discount rate, which arises in a number of financial applications, including stock loans and real options, where the strike price can potentially grow at a higher rate than the original discount factor. Moreover, successive exercise opportunities are separated by i.i.d. random refraction times. Under a wide class of two-sided L'evy models with a general random refraction time, we rigorously show that the optimal strategy to exercise successive call options is uniquely characterized by a sequence of up-crossing times. The corresponding optimal thresholds are determined explicitly in the single stopping case and recursively in the multiple stopping case." @default.
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- W3122024794 date "2015-05-01" @default.
- W3122024794 modified "2023-09-27" @default.
- W3122024794 title "Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Levy Models" @default.
- W3122024794 hasPublicationYear "2015" @default.
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