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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.

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Optimal stopping for Markov modulated Ito-Diffusions with applications to finance./
Author:	Seaquist, Thomas William.
Description:	90 p.
Notes:	Source: Dissertation Abstracts International, Volume: 74-11(E), Section: B.
Contained By:	Dissertation Abstracts International74-11B(E).
Subject:	Mathematics. -
Online resource:	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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020 $a 9781303238222
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100 1 $a Seaquist, Thomas William. $3 2095403
245 1 0 $a Optimal stopping for Markov modulated Ito-Diffusions with applications to finance.
300 $a 90 p.
500 $a Source: Dissertation Abstracts International, Volume: 74-11(E), Section: B.
500 $a Adviser: Andrzej Korzeniowski.
502 $a Thesis (Ph.D.)--The University of Texas at Arlington, 2013.
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.
590 $a School code: 2502.
650 4 $a Mathematics. $3 515831
650 4 $a Economics, Finance. $3 626650
650 4 $a Applied Mathematics. $3 1669109
690 $a 0405
690 $a 0508
690 $a 0364
710 2 $a The University of Texas at Arlington. $b Mathematics. $3 1682219
773 0 $t Dissertation Abstracts International $g 74-11B(E).
790 $a 2502
791 $a Ph.D.
792 $a 2013
793 $a English
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3568911