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Optimal stopping for Markov modulate...

Seaquist, Thomas William.

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Optimal stopping for Markov modulated Ito-Diffusions with applications to finance.

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Optimal stopping for Markov modulated Ito-Diffusions with applications to finance./
作者:	Seaquist, Thomas William.
面頁冊數:	90 p.
附註:	Source: Dissertation Abstracts International, Volume: 74-11(E), Section: B.
Contained By:	Dissertation Abstracts International74-11B(E).
標題:	Mathematics. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3568911
ISBN:	9781303238222

Optimal stopping for Markov modulated Ito-Diffusions with applications to finance.
Seaquist, Thomas William.

Optimal stopping for Markov modulated Ito-Diffusions with applications to finance. - 90 p.

Source: Dissertation Abstracts International, Volume: 74-11(E), Section: B.

Thesis (Ph.D.)--The University of Texas at Arlington, 2013.

Despite the outstanding success of the Black-Scholes model, it relies on the assumption that drift and volatility of the underlying equity remain constant throughout time. This inaccuracy has motivated a number of interesting and innovative refinements, one of the most natural being Markov modulation. In this dissertation we analyze a variety of financially motivated optimal stopping problems under Markov modulated Ito-Diffusions. In Chapter 3, we generalize and refine a technique developed in [13] pricing an infinite time horizon American put option and we present a rigorous proof of optimality. In Chapter 3 we use this generalized technique to discover an optimal selling strategy for an infinite horizon American style forward contract. In so doing, we extend the work done in [12]. Finally in Chapter 5 we price the infinite horizon American put using a non-traditional model of a mean reverting Ornstein-Uhlenbeck process, further illustrating the broad scope of applicability of the technique developed herein.

ISBN: 9781303238222Subjects--Topical Terms:

515831
Mathematics.

Optimal stopping for Markov modulated Ito-Diffusions with applications to finance.
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520 $a Despite the outstanding success of the Black-Scholes model, it relies on the assumption that drift and volatility of the underlying equity remain constant throughout time. This inaccuracy has motivated a number of interesting and innovative refinements, one of the most natural being Markov modulation. In this dissertation we analyze a variety of financially motivated optimal stopping problems under Markov modulated Ito-Diffusions. In Chapter 3, we generalize and refine a technique developed in [13] pricing an infinite time horizon American put option and we present a rigorous proof of optimality. In Chapter 3 we use this generalized technique to discover an optimal selling strategy for an infinite horizon American style forward contract. In so doing, we extend the work done in [12]. Finally in Chapter 5 we price the infinite horizon American put using a non-traditional model of a mean reverting Ornstein-Uhlenbeck process, further illustrating the broad scope of applicability of the technique developed herein.
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