Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: An analytic recursive method for optimal multiple stopping: Canadization
  and phase-type fitting   We study an optimal multiple stopping problem for call-type payoff driven by
a spectrally negative Levy process. The stopping times are separated by
constant refraction times, and the discount rate can be positive or negative.
The computation involves a distribution of the Levy process at a constant
horizon and hence the solutions in general cannot be attained analytically.
Motivated by the maturity randomization (Canadization) technique by Carr
(1998), we approximate the refraction times by independent, identically
distributed Erlang random variables. In addition, fitting random jumps to
phase-type distributions, our method involves repeated integrations with
respect to the resolvent measure written in terms of the scale function of the
underlying Levy process. We derive a recursive algorithm to compute the value
function in closed form, and sequentially determine the optimal exercise
thresholds. A series of numerical examples are provided to compare our analytic
formula to results from Monte Carlo simulation.

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The categories of this paper are: atom-ph
15
The categories of this paper are: nucl-ex
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The categories of this paper are: chao-dyn
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The categories of this paper are: alg-geom
9
The categories of this paper are: nlin
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The categories of this paper are: chem-ph
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The categories of this paper are: bayes-an
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The categories of this paper are: econ
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The categories of this paper are: adap-org
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The categories of this paper are: ao-sci
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The categories of this paper are: supr-con
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The categories of this paper are: acc-phys
13
The categories of this paper are: quant-ph
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The categories of this paper are: dg-ga
12
The categories of this paper are: nucl-th
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The categories of this paper are: funct-an