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Optimal Stopping and Reselling of European Options
Stockholm University, Faculty of Science, Department of Mathematics.
School of Education, Culture and Communication, Mälardalen University.
2010 (English)In: Mathematical and Statistical Methods in Reliability Applications to Medicine, Finance,  and Quality Control: Applications to Medicine, Finance,  and Quality Control / [ed] V. Rykov, N. Balakrishnan, M. Nikulin, Boston: Birkhäuser , 2010, 378-394 p.Chapter in book (Other academic)
Abstract [en]

The problem of optimal reselling of European options is studied. A bivariate exponential diffusion process is used to describe the reselling model. In this way, the reselling problem is imbedded to the model of finding optimal reward for American type option based on this process. Convergence results are formulated for optimal reward functionals of American type options for perturbed multi-variate Markov processes. An approximation bivariate tree model is constructed and convergence of optimal expected reward for this tree model to the optimal expected reward for the corresponding reselling model is proved. 

Place, publisher, year, edition, pages
Boston: Birkhäuser , 2010. 378-394 p.
Series
Statistics for Industry and Technology
Keyword [en]
European option, reselling problem, American option, convergence, optimal stopping, binomial-trinomial approximation
National Category
Probability Theory and Statistics
Research subject
Mathematical Statistics
Identifiers
URN: urn:nbn:se:su:diva-43776OAI: oai:DiVA.org:su-43776DiVA: diva2:359366
Available from: 2010-10-27 Created: 2010-10-27 Last updated: 2010-12-14Bibliographically approved

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