In this paper we examine the problem of finding investors' reservation option prices and corresponding early exercise policies of American- style options in the market with proportional transaction costs using the utility based approach proposed by Davis and Zariphopoulou (1995). We present a...

We study the decision of when to invest in an indivisible project whose value is perfectly observable but driven by a parameter that is unknown to the decision maker ex ante. This problem is equivalent to an optimal stopping problem for a bivariate Markov process. Using filtering and martingale...

The problem of disorder seeks to determine a stopping time which is as close as possible to the unknown time of “disorder” when the observed process changes its probability characteristics. We give a partial answer to this question for some special cases of Lévy processes and present a...