An optimal stopping problem with a reward constraint

作者：Detemple Jerome; Tian Weidong^*; Xiong Jie

来源：Finance and Stochastics, 2012, 16(3): 423-448.

DOI：10.1007/s00780-012-0173-4

• Optimal stopping
• Endogenous constraint
• Protective covenant
• Equity-trigger protection

This article studies an optimal stopping problem with an endogenous constraint on the set of admissible stopping times. The constraint stipulates that continuation is permitted, at any given date t, only if the endogenous reward achieved exceeds a prespecified threshold. Characterizations of the value function and the optimal stopping time are presented. An application to the pricing of corporate claims, when the capital structure of the firm includes equity-trigger debt, is carried out.

• 出版日期2012-7