Date: Thursday, October 11, 2012
Location: 1360 East Hall (3:00 PM to 4:00 PM)
Title: Optimal Stopping for Spectrally Negative Levy Processes and Applications in Finance
Abstract: We consider a class of infinite-time horizon optimal stopping problems for spectrally negative Levy processes. Focusing on strategies of threshold type, we write explicit expressions for the corresponding expected payoffs via the scale function. We obtain and show the equivalence of the continuous/smooth fit condition and the first-order condition for maximization over threshold levels. Extensions to multiple-stopping and applications in Leland's endogenous default model are also discussed.
1369_yamazaki.pdf
Speaker: Kazutoshi Yamazaki
Institution: Osaka University
Event Organizer: Erhan Bayraktar
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