Sökning: "optimal stopping strategy"

Visar resultat 1 - 5 av 11 avhandlingar innehållade orden optimal stopping strategy.

  1. 1. Optimal Stopping and Model Robustness in Mathematical Finance

    Författare :Henrik Wanntorp; Johan Tysk; Svante Janson; Boualem Djehiche; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Optimal stopping; model robustness; American options; free boundary problems; hedging; option pricing; Mathematical statistics; Matematisk statistik;

    Sammanfattning : Optimal stopping and mathematical finance are intimately connected since the value of an American option is given as the solution to an optimal stopping problem. Such a problem can be viewed as a game in which we are trying to maximize an expected reward. LÄS MER

  3. 2. Optimal Sequential Decisions in Hidden-State Models

    Författare :Juozas Vaicenavicius; Erik Ekström; Huyên Pham; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; sequential analysis; optimal stopping; optimal liquidation; drift uncertainty; incomplete information; stochastic filtering;

    Sammanfattning : This doctoral thesis consists of five research articles on the general topic of optimal decision making under uncertainty in a Bayesian framework. The papers are preceded by three introductory chapters.Papers I and II are dedicated to the problem of finding an optimal stopping strategy to liquidate an asset with unknown drift. LÄS MER

  4. 3. Supplement to the paper "Threshold structure of optimal stopping domains for American type options" : Theory of Stochastic Processes, v. 8(24), no. 1-2 (2002), 170-177

    Författare :H. Jönsson; A.G. Kukush; D. Silvestrov; Mälardalens högskola; []
    Nyckelord :American type option; optimal stopping strategy;

    Sammanfattning : Conditions, which provide a one-threshold structure for optimal stopping strategies for American type options, are given.... LÄS MER

  5. 4. Valuation and Optimal Strategies in Markets Experiencing Shocks

    Författare :Hannah Dyrssen; Erik Ekström; Damien Lamberton; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; American options; optimal stopping; game options; jump diffusion; jump to default; free-boundary problems; early exercise premium; integral equation; parabolic pde; convexity; sequential testing; fixed-point approach; Mathematics with specialization in Applied Mathematics; Matematik med inriktning mot tillämpad matematik;

    Sammanfattning : This thesis treats a range of stochastic methods with various applications, most notably in finance. It is comprised of five articles, and a summary of the key concepts and results these are built on.The first two papers consider a jump-to-default model, which is a model where some quantity, e.g. LÄS MER

  7. 5. 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