This paper revisits the optimal capital structure model with endogenous bankruptcy, first
studied by Leland (J. Finance 49: 1213–1252, 1994) and Leland and Toft (J. Finance 51 …

We consider the Lévy model of the perpetual American call and put options with a negative
discount rate under Poisson observations. Similar to the continuous observation case, the …

The problem of maximizing or minimizing the time spent by a stochastic process in an
interval is considered for autoregressive processes. The control applied to the system is …

This paper examines the valuation of American knock-out and knock-in step options. The
structures of the immediate exercise regions of the various contracts are identified. Typical …

The automotive industry requirements for vehicle weight reduction, weight containment,
improved part functionality and passenger safety have resulted in the increased use of steel …

We consider risk‐averse investors with different levels of anxiety about asset price
drawdowns. The latter is defined as the distance of the current price away from its best …

Trailing stop is a popular stop-loss trading strategy by which the investor will sell the asset
once its price experiences a pre-specified percentage drawdown. In this paper, we study the …

In this paper we consider the following optimal stop** problem VA ω (s)= sup τ∈ TE s [e-
∫ 0 τ ω (S w) dwg (S τ)], where the process S t is a jump-diffusion process, T is a family of …

For a spectrally negative Lévy process X, killed according to a rate that is a function ω of its
position, we complement the recent findings of [12] by analysing (in greater generality) the …

The present article studies geometric step options in exponential Lévy markets. Our
contribution is manifold and extends several aspects of the geometric step option pricing …