Sökning: "Stephane Villeneuve"

Hittade 1 avhandling innehållade orden Stephane Villeneuve.

1. 1. Calibration, Optimality and Financial Mathematics

   Författare :Bing Lu; Erik Ekström; Stephane Villeneuve; Uppsala universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; perpetual put option; calibration of models; piecewise constant volatility; optimal liquidation of an asset; incomplete information; optimal stopping; jump-diffusion model; optimal distribution of dividends; singular stochastic control; implied volatility; exponential Lévy models; short-time asymptotic behavior.;

   Sammanfattning : This thesis consists of a summary and five papers, dealing with financial applications of optimal stopping, optimal control and volatility.In Paper I, we present a method to recover a time-independent piecewise constant volatility from a finite set of perpetual American put option prices. LÄS MER