Variance optimal stopping for geometric Levy processes

Research output: Contribution to journalJournal articlepeer-review

Standard

Variance optimal stopping for geometric Levy processes. / Gad, Kamille Sofie Tågholt; Pedersen, Jesper Lund.

In: Advances in Applied Probability, Vol. 47, No. 1, 2015, p. 128-145.

Research output: Contribution to journalJournal articlepeer-review

Harvard

Gad, KST & Pedersen, JL 2015, 'Variance optimal stopping for geometric Levy processes', Advances in Applied Probability, vol. 47, no. 1, pp. 128-145. https://doi.org/10.1239/aap/1427814584

APA

Gad, K. S. T., & Pedersen, J. L. (2015). Variance optimal stopping for geometric Levy processes. Advances in Applied Probability, 47(1), 128-145. https://doi.org/10.1239/aap/1427814584

Vancouver

Gad KST, Pedersen JL. Variance optimal stopping for geometric Levy processes. Advances in Applied Probability. 2015;47(1):128-145. https://doi.org/10.1239/aap/1427814584

Author

Gad, Kamille Sofie Tågholt ; Pedersen, Jesper Lund. / Variance optimal stopping for geometric Levy processes. In: Advances in Applied Probability. 2015 ; Vol. 47, No. 1. pp. 128-145.

Bibtex

@article{1d191641ff4346528a5da31df4e3a13d,
title = "Variance optimal stopping for geometric Levy processes",
abstract = "The main result of this paper is the solution to the optimal stopping problem of maximizing the variance of a geometric L{\'e}vy process. We call this problem the variance problem. We show that, for some geometric L{\'e}vy processes, we achieve higher variances by allowing randomized stopping. Furthermore, for some geometric L{\'e}vy processes, the problem has a solution only if randomized stopping is allowed. When randomized stopping is allowed, we give a solution to the variance problem. We identify the L{\'e}vy processes for which the allowance of randomized stopping times increases the maximum variance. When it does, we also solve the variance problem without randomized stopping. ",
author = "Gad, {Kamille Sofie T{\aa}gholt} and Pedersen, {Jesper Lund}",
year = "2015",
doi = "10.1239/aap/1427814584",
language = "English",
volume = "47",
pages = "128--145",
journal = "Advances in Applied Probability",
issn = "0001-8678",
publisher = "Applied Probability Trust",
number = "1",

}

RIS

TY - JOUR

T1 - Variance optimal stopping for geometric Levy processes

AU - Gad, Kamille Sofie Tågholt

AU - Pedersen, Jesper Lund

PY - 2015

Y1 - 2015

N2 - The main result of this paper is the solution to the optimal stopping problem of maximizing the variance of a geometric Lévy process. We call this problem the variance problem. We show that, for some geometric Lévy processes, we achieve higher variances by allowing randomized stopping. Furthermore, for some geometric Lévy processes, the problem has a solution only if randomized stopping is allowed. When randomized stopping is allowed, we give a solution to the variance problem. We identify the Lévy processes for which the allowance of randomized stopping times increases the maximum variance. When it does, we also solve the variance problem without randomized stopping.

AB - The main result of this paper is the solution to the optimal stopping problem of maximizing the variance of a geometric Lévy process. We call this problem the variance problem. We show that, for some geometric Lévy processes, we achieve higher variances by allowing randomized stopping. Furthermore, for some geometric Lévy processes, the problem has a solution only if randomized stopping is allowed. When randomized stopping is allowed, we give a solution to the variance problem. We identify the Lévy processes for which the allowance of randomized stopping times increases the maximum variance. When it does, we also solve the variance problem without randomized stopping.

U2 - 10.1239/aap/1427814584

DO - 10.1239/aap/1427814584

M3 - Journal article

VL - 47

SP - 128

EP - 145

JO - Advances in Applied Probability

JF - Advances in Applied Probability

SN - 0001-8678

IS - 1

ER -

ID: 135271285