We give short proofs of general theorems about optimal entry and exit problems in Levy models, when payoff streams may have discontinuities and be non-monotone. As applications, we consider exit and entry problems in the theory of real options, and an entry problem with an embedded option to exit

We study a stochastic version of Fudenberg and Tirole's (1985) preemption game to analyze the effects of jumps in the underlying uncertainty on equilibrium strategies. Two firms contemplate entering a new market where the demand follows a jump-diffusion process. Firms differ is the sunk costs of...

We consider the Heston model with the stochastic interest rate of the CIR type and more general models with stochastic volatility and interest rates depending on two CIR - factors. Time derivative and infinitesimal generator of the process for factors that determine the dynamics of the interest...

A general numerical method for pricing American options in regime switching jump diffusion models of stock dynamics with stochastic interest rates and/or volatility is developed. Time derivative and infinitesimal generator of the process for factors that determine the dynamics of the interest...

A general numerical method for pricing American options in regime-switching jump-diffusion models of stock dynamics with stochastic interest rates and/or volatility is developed. Time derivative and infinitesimal generator of the process for factors that determine the dynamics of the interest...

A general numerical method for pricing American options in regime-switching jump-diffusion models of stock dynamics with stochastic interest rates and/or volatility is developed. Time derivative and infinitesimal generator of the process for factors that determine the dynamics of the interest...

In the paper, we solve the pricing problem for American options in Markov-modulated Levy models. The early exercise boundaries and prices are calculated using a generalization of Carr's randomization for regime-switching models. The pricing procedure is efficient even if the number of states is...

In the paper, we solve the pricing problem for perpetual American options in Markov-modulated Levy models. The early exercise boundaries and prices are calculated using an iteration procedure. The pricing procedure is efficient even if the number of states is large provided the transition rates...

An industry consisting of a large number of small (fixed size) firms subject to idiosyncratic productivity shocks is considered. At the moment of entry, a firm takes on debt. We demonstrate that in a competitive equilibrium, some firms exit and pay out their debt while others choose to default....

This paper studies pricing of perpetual American strangles under jump-diffusions. Explicit solutions for option values as functions of the exercise boundaries and the exercise boundaries as functions of the ratio between the boundaries are obtained. Calculation of the ratio of the exercise...