We study the optimal stopping of an American call option in a random time-horizon under exponential spectrally negative L'evy models. The random time-horizon is modeled as the so-called Omega default clock in insurance, which is the first time when the occupation time of the underlying L'evy...

We study the economics of price freeze options (PFOs), by introducing them into a model of sequential search. The model makes a number of predictions, which we test in a laboratory experiment. The experiment varies (1) whether freezing is possible or not, (2) the cost of freezing, and (3) the...

This paper proposes a new approach to solve finite-horizon optimal stopping problems for a class of Markov processes that includes one-dimensional diffusions, birth-and-death (BD) processes, and jump-diffusions and continuous-time Markov chains obtained by time changing diffusions and BD...