@article{oai:kansai-u.repo.nii.ac.jp:00019735,
 author = {Yamazaki, Kazutoshi},
 journal = {Applied Mathematics & Optimization},
 month = {Oct},
 note = {This paper studies the optimal multiple-stopping problem arising in the context of the timing option to withdraw from a project in stages. The profits are driven by a general spectrally negative Lévy process. This allows the model to incorporate sudden declines of the project values, generalizing greatly the classical geometric Brownian motion model. We solve the one-stage case as well as the extension to the multiple-stage case. The optimal stopping times are of threshold-type and the value function admits an expression in terms of the scale function. A series of numerical experiments are conducted to verify the optimality and to evaluate the efficiency of the algorithm., K. Yamazaki is in part supported by MEXT KAKENHI grant numbers 22710143 and 26800092, JSPS KAKENHI grant number 23310103, the Inamori foundation research grant, and the Kansai University subsidy for supporting young scholars 2014., Mathematics Subject Classification (2010): Primary 60G40, Secondary 60J75},
 pages = {147--185},
 title = {CONTRACTION OPTIONS AND OPTIMAL MULTIPLE-STOPPING IN SPECTRALLY NEGATIVE LÉVY MODELS},
 volume = {72},
 year = {2014}
}