Structure of optimal stopping domains for American options with knock out domains

Structure of optimal stopping domains for American options with knock out domains

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 ty...

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Видавець:Інститут математики НАН України
Дата:2007
Автор: Lundgren, R.
Формат: Стаття
Мова:English
Опубліковано: Інститут математики НАН України 2007
Онлайн доступ:http://dspace.nbuv.gov.ua/handle/123456789/4516
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Цитувати: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.

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Digital Library of Periodicals of National Academy of Sciences of Ukraine
id irk-123456789-4516
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spelling irk-123456789-45162009-11-25T12:00:37Z Structure of optimal stopping domains for American options with knock out domains Lundgren, R. 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. 2007 Article 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 en Інститут математики НАН України
institution Digital Library of Periodicals of National Academy of Sciences of Ukraine
collection DSpace DC
language English
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.
format Article
author Lundgren, R.
spellingShingle Lundgren, R.
Structure of optimal stopping domains for American options with knock out domains
author_facet Lundgren, R.
author_sort Lundgren, R.
title Structure of optimal stopping domains for American options with knock out domains
title_short Structure of optimal stopping domains for American options with knock out domains
title_full Structure of optimal stopping domains for American options with knock out domains
title_fullStr Structure of optimal stopping domains for American options with knock out domains
title_full_unstemmed Structure of optimal stopping domains for American options with knock out domains
title_sort structure of optimal stopping domains for american options with knock out domains
publisher Інститут математики НАН України
publishDate 2007
url http://dspace.nbuv.gov.ua/handle/123456789/4516
citation_txt 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.
work_keys_str_mv AT lundgrenr structureofoptimalstoppingdomainsforamericanoptionswithknockoutdomains
first_indexed 2023-03-24T08:30:31Z
last_indexed 2023-03-24T08:30:31Z
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