Optimal Stopping at Random Intervention Times


We propose a Markovian model to value American-style complete contracts of temporarily inattentive agents. Exercise decisions maximizing the contract's payoff are not admissible continuously but at random intervention times.... [ view full abstract ]


  1. Mick Schaefer (University of Hamburg)
  2. Alexander Szimayer (University of Hamburg)

Topic Areas

Optimal Control , Optimal Stopping , Risk Management


TU-A-SY » Optimal Stopping (11:30 - Tuesday, 17th July, Synge)

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