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Monte Carlo studies of optimal stopping domains for American knock out options
Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics.
2007 (English)In: Recent Advances in Stochastic Modeling and Data Analysis, Institute of Electrical and Electronics Engineers (IEEE), 2007, 613-620 p.Chapter in book (Other academic)
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Text
Abstract [en]

In this paper generalized barrier options of American type in discrete time are studied. Instead of a barrier, a domain of knock out type is considered. To find the optimal time of exercising the contract, or stopping a Markov price process, an optimal stopping domain can be constructed. To determine the optimal stopping domain Monte Carlo simulation is used. Probabilities of classification errors when determining the structure of the optimal stopping domain are analyzed.

Place, publisher, year, edition, pages
Institute of Electrical and Electronics Engineers (IEEE), 2007. 613-620 p.
Keyword [en]
American option, Knock out option, Monte carlo simulation, Optimal stopping
National Category
Mathematics
Identifiers
URN: urn:nbn:se:mdh:diva-31663DOI: 10.1142/9789812709691_0072Scopus ID: 2-s2.0-84967493923ISBN: 9789812709691 (ISBN); 9812709681 (ISBN); 9789812709684 (ISBN) OAI: oai:DiVA.org:mdh-31663DiVA: diva2:931193
Available from: 2016-05-26 Created: 2016-05-26 Last updated: 2016-05-26Bibliographically approved

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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
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  • asciidoc
  • rtf