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Optimal stopping of a killed exponentially growing process
KTH, School of Architecture and the Built Environment (ABE), Real Estate and Construction Management, Building and Real Estate Economics.ORCID iD: 0000-0003-4454-474X
2019 (English)In: Applied Mathematics and Computation, ISSN 0096-3003, E-ISSN 1873-5649, Vol. 353, p. 208-214Article in journal (Refereed) Published
Abstract [en]

We consider a finite horizon optimal stopping problem with a gain function equal to the call option's. The value of the underlying process grows exponentially until a Poisson process jumps for the first time, at which the process jumps to zero and stays there forever. As applications of this model we consider valuing real options and options written on the stock of a start-up company. 

Place, publisher, year, edition, pages
ELSEVIER SCIENCE INC , 2019. Vol. 353, p. 208-214
Keywords [en]
Optimal stopping, Poisson process, American option
National Category
Economics and Business
Identifiers
URN: urn:nbn:se:kth:diva-247797DOI: 10.1016/j.amc.2019.02.006ISI: 000460726500015Scopus ID: 2-s2.0-85061811286OAI: oai:DiVA.org:kth-247797DiVA, id: diva2:1301104
Note

QC 20190401

Available from: 2019-04-01 Created: 2019-04-01 Last updated: 2019-04-01Bibliographically approved

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Armerin, Fredrik

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