Structure of optimal stopping domains for American options with knock out domains
Vernadsky National Library of Ukraine
Переглянути архів Інформація| Поле | Співвідношення | |
| Title |
Structure of optimal stopping domains for American options with knock out domains
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| Creator |
Lundgren, R.
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| Description |
American options give us the possibility to exercise them at any moment of time up to maturity. An optimal stopping domain for American type options is a domain that, if the underlying price process enters we should exercise the option. A knock out option is a American barrier option of knock out type, but with more general shape structure of the knock out domain. An algorithm for generating the optimal stopping domain for American type knock out options is constructed. Monte Carlo simulation is used to determine the structure of the optimal stopping domain. Results of the structural, and stability of studies are presented for different models of payoff functions and knock out domains.
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| Date |
2009-11-24T15:29:35Z
2009-11-24T15:29:35Z 2007 |
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| Type |
Article
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| Identifier |
Structure of optimal stopping domains for American options with knock out domains / R. Lundgren // Theory of Stochastic Processes. — 2007. — Т. 13 (29), № 4. — С. 98–129. — Бібліогр.: 22 назв.— англ.
0321-3900 http://dspace.nbuv.gov.ua/handle/123456789/4516 |
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| Language |
en
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| Publisher |
Інститут математики НАН України
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