Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/233219 
Authors: 
Year of Publication: 
2006
Series/Report no.: 
Discussion paper No. 3
Publisher: 
Aboa Centre for Economics (ACE), Turku
Abstract: 
The objective of this study is to provide an alternative characterization of the optimal value function of a certain Black- Scholes-type optimal stopping problem where the underlying stochastic process is a general random walk, i.e. the process constituted by partial sums of an IID sequence of random variables. Furthermore, the pasting principle of this optimal stopping problem is studied.
Subjects: 
General random walk
optimal stopping
minimal functions
continuous pasting
JEL: 
G35
G31
C44
Q23
Document Type: 
Working Paper

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