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Convergence and Approximation of Option Rewards for Multivariate Price Processes
Mälardalens högskola, Akademin för utbildning, kultur och kommunikation. (Avdelningen för tillämpad matematik)
Mälardalens högskola, Akademin för utbildning, kultur och kommunikation. (Avdelningen för tillämpad matematik)ORCID-id: 0000-0002-2626-5598
2009 (engelsk)Rapport (Annet (populærvitenskap, debatt, mm))
Abstract [en]

Multivariate Markov price processes and American type options for such processes with generalpayoff functions with not more than polynomial rate of growth are considered. Convergence results are obtainedfor optimal reward functionals of American type options for perturbed multivariateMarkov processes and payoff functions. These results are applied to approximation tree type algorithmsfor American type options for exponential diffusion type priceprocesses including mean-reverse stochastic processesused to model stochastic dynamics of energy prices.

sted, utgiver, år, opplag, sider
2009. , s. 46
Serie
Research Reports MDH/UKK, ISSN 1404-4978 ; 2009-1
Emneord [en]
American option, Reward, Convergence, Binomial-Trinomial Tree Approximation, Optimal Stopping, Skeleton Approximation, Multivariate Markov Price Process
HSV kategori
Forskningsprogram
matematik/tillämpad matematik
Identifikatorer
URN: urn:nbn:se:mdh:diva-5636OAI: oai:DiVA.org:mdh-5636DiVA, id: diva2:209030
Tilgjengelig fra: 2009-03-23 Laget: 2009-03-23 Sist oppdatert: 2015-01-30bibliografisk kontrollert
Inngår i avhandling
1. Optimal Stopping and Convergence of Option Rewards
Åpne denne publikasjonen i ny fane eller vindu >>Optimal Stopping and Convergence of Option Rewards
2009 (engelsk)Licentiatavhandling, med artikler (Annet vitenskapelig)
Abstract [en]

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. An approximate binomial-trinomial tree algorithm for the reselling model is constructed.

In article B, 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 and B.

Publisher
s. 150
Serie
Mälardalen University Press Licentiate Theses, ISSN 1651-9256 ; 101
Identifikatorer
urn:nbn:se:mdh:diva-5637 (URN)978-91-86135-21-8 (ISBN)
Presentation
2009-04-23, Gamma, Högskoleplan 1, hus U, Västerås, 13:15 (engelsk)
Opponent
Veileder
Tilgjengelig fra: 2009-03-24 Laget: 2009-03-23 Sist oppdatert: 2015-01-30bibliografisk kontrollert

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