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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| Дата: | 2007 |
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| Автор: | |
| Формат: | Стаття |
| Мова: | Англійська |
| Опубліковано: |
Інститут математики НАН України
2007
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| Онлайн доступ: | https://nasplib.isofts.kiev.ua/handle/123456789/4516 |
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| Назва журналу: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| 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. |
Репозитарії
Digital Library of Periodicals of National Academy of Sciences of Ukraine| _version_ | 1862735520740671488 |
|---|---|
| author | Lundgren, R. |
| author_facet | Lundgren, R. |
| 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. |
| collection | DSpace DC |
| 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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| first_indexed | 2025-12-07T19:48:45Z |
| format | Article |
| fulltext | |
| id | nasplib_isofts_kiev_ua-123456789-4516 |
| institution | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| issn | 0321-3900 |
| language | English |
| last_indexed | 2025-12-07T19:48:45Z |
| publishDate | 2007 |
| publisher | Інститут математики НАН України |
| record_format | dspace |
| spelling | Lundgren, R. 2009-11-24T15:29:35Z 2009-11-24T15:29:35Z 2007 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 https://nasplib.isofts.kiev.ua/handle/123456789/4516 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. en Інститут математики НАН України Structure of optimal stopping domains for American options with knock out domains Article published earlier |
| spellingShingle | Structure of optimal stopping domains for American options with knock out domains Lundgren, R. |
| title | 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_short | 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 |
| url | https://nasplib.isofts.kiev.ua/handle/123456789/4516 |
| work_keys_str_mv | AT lundgrenr structureofoptimalstoppingdomainsforamericanoptionswithknockoutdomains |