Optimal Stopping for Spectrally Negative Levy Processes and Applications in Finance by Dr. Kazutoshi Yamazaki

Event Date: 

Friday, October 19, 2012

Dr. Kazutoshi Yamazaki (Osaka Uniersity)

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.