Irreversible Decisions and Record-Setting News Principles
将经典实物期权理论从几何布朗运动扩展到任意几何Lévy过程，用创纪录价格统计量描述最优执行策略，适用于商品价格有厚尾和偏态的情况。
In the now-classical real options theory, the price of an underlying asset is modeled as a geometric Brownian motion, and optimal exercise strategies are described by simple explicit formulas. This paper extends the classical theory to allow any geometric Lévy process to model prices. Such processes may account for fat tails and skewness of probability distributions of commodity prices. The optimal exercise strategies are specified in the paper in terms of statistics of record-setting low or high prices. The formulas derived extend those observed in the Gaussian case, but the form of the result is novel even for that case.