Sökning: "Convergence of option rewards"

Hittade 3 avhandlingar innehållade orden Convergence of option rewards.

1. 1. Convergence of Option Rewards

   Författare :Robin Lundgren; Dmitrii Silvestrov; Kimmo Eriksson; Anatoliy Malyarenko; Johan Tysk; Mälardalens högskola; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Applied mathematics; Tillämpad matematik; Mathematics Applied Mathematics; matematik tillämpad matematik;

   Sammanfattning : This thesis consists of an introduction and five articles devoted to optimal stopping problems of American type options. In article A, we get general convergence results for the American option rewards for multivariate Markov price processes. These results are used to prove convergence of tree approximations presented in papers A, B, C and E. LÄS MER

3. 2. Semi-Markov Models for Insurance and Option Rewards

   Författare :Fredrik Stenberg; Dmitrii Silvestrov; Kimmo Eriksson; Nikolaos Limnios; Mälardalens högskola; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; semi-Markov process; discrete time; insurance; actuarial; higher order reward; disability; variance; skewness; kurtosis; reward process; stochastic volatility; controlling semi-Markov process; Monte Carlo algorithm; convergence; optimal stopping; skeleton approximation; regime switching; semi-Markov modulated; European option; American option; Lévy process.; MATHEMATICS; MATEMATIK; Matematik tillämpad matematik;

   Sammanfattning : This thesis presents studies of semi-Markov models for insurance and option rewards. The thesis consists of the introduction and six papers. The introduction presents the results of the thesis in an informal way.In paper A, a general semi-Markov reward model is presented. LÄS MER

4. 3. Optimal Stopping and Convergence of Option Rewards

   Författare :Robin Lundgren; Dmitrii Silvestrov; Anatoliy Malyarenko; Kimmo Eriksson; Erik Ekström; Mälardalens högskola; []
   Nyckelord :;

   Sammanfattning : This thesis is based on two articles devoted to optimal stopping problems of American type options. In article A, we study the problem of optimal reselling for European options. The problem can be transformed to the problem of exercising an American option with two underlying. LÄS MER