[PDF] Top 20 American option: an optimal stopping problem
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American option: an optimal stopping problem
... the American option can exercise the option at any before the option expires, traders are more attracted to this option and mathematicians as a result of this interpret the ... See full document
13
On properties of the American put option under several models
... the problem of American option valuation under the BNS ...the American put problem in both finite and infinite ...of option prices under the BNS ...the stopping region of ... See full document
146
Optimal investment with stopping in finite horizon
... Optimal stopping problems, a variant of optimization problems allowing investors freely to stop before or at the maturity in order to maximize their profits, have been implemented in practice and given rise ... See full document
14
Monotonicity of the value function for a two dimensional optimal stopping problem
... shown in the case of regime-switching, and the main method is established. In Section 3 the main method is adapted to the case of a system of stochastic differ- ential equations (1.1), (1.4) which is the diffusion case, ... See full document
32
On the optimal stopping problem driven by spectrally negative Lévy processes
... Chapter 2 In this chapter we study the pricing of American Strangle options when the underlying uncertainty is modeled by spectrally negatiw Levy processes, that is the optimal stopping [r] ... See full document
151
Optimal stopping investment in a logarithmic utility-based portfolio selection problem
... Optimal stopping problems, a kind of dynamic optimization problems allowing investors to stop investment any time before the maturity in order to maximize their profits or minimize their costs, are of great ... See full document
10
Deep Optimal Stopping
... for optimal stopping problems which directly learns the optimal stopping rule from Monte Carlo ...max-call option, the pricing of a callable multi barrier reverse convertible and the ... See full document
25
On the optimal exercise boundaries of swing put options
... the American put optimal ...these optimal boundaries, which for the case of n = 2 are given in Theorem ...the optimal stopping boundaries (see Theorem ... See full document
31
Integral equations for Rost's reversed barriers: existence and uniqueness results
... and optimal stop- ping we would like to recall that nonlinear equations of Volterra type arise frequently in problems of optimal stopping on finite time ...related optimal stopping ... See full document
22
On Lipschitz Continuous Optimal Stopping Boundaries
... Stefan problem is proved, and [17] where C 1 regularity of the boundary is obtained for a certain class of variational ...the optimal boundary of the American put op- tion is perhaps one of the most ... See full document
35
Optimal stopping problems in mathematical finance
... perpetual American standard put and call options in an extension of the Black-Merton-Scholes model for underlying dividend paying assets with both piecewise- constant dividend and volatility rates are presented ... See full document
111
Approximate Guarantee for Approximate Dynamic Programming
... approximating optimal stopping ...The optimal stopping problem takes the view of the customer that seeks the optimal strategy to minimise its ...the problem is formulated ... See full document
77
Some Properties for the American Option Pricing Model
... the American option-pricing model, there is an optimal holding region for contracts holders (see ...the optimal excising boundary for option ...the option price of the security. ... See full document
8
Free boundary and optimal stopping problems for American Asian options
... Several classical results from functional analysis have been extended to this non-Euclidean setting in [7, 25, 10]. Here we state some fundamental embedding and a priori estimates for the variable coefficients operator L ... See full document
21
On the regularity of American options with regime switching uncertainty
... the American put, with g(x) = (K − x) + , and discuss the determina- tion of the value function and the shape of the optimal stopping boundary by means of a direct application of Itˆ o’s ...an ... See full document
23
Some remarks on first passage of Lévy processes, the American put and pasting principles
... same optimal stopping problem, but with finite ...the optimal strategy consists of stopping when first crossing below a boundary which is nonincreasing in ...the stopping domain ... See full document
20
Early Stopping and Non-parametric Regression: An Optimal Data-dependent Stopping Rule
... early stopping of an iterative update that is equivalent to gradient descent on the least-squares loss in an appropriately chosen coordinate ...data-dependent stopping rule that provides the optimal ... See full document
32
The dividend problem with a finite horizon
... related optimal stopping problem with a pe- culiar boundary condition at 0, and we state our main result, Theorem ...the optimal stopping problem in Section 4 by proving ... See full document
22
On a random number of disorders
... disorder problem of the independent random variables with one disorder where the mean distance between disorder time and the moment of its detection was ...the problem was used by Bojdecki [3] and the ... See full document
35
Optimal Stopping Time for Holding an Asset
... In [2], Albert Shiryaev, Zouquan Xu and Xun Yu Zhou solve the following problem: There is an investor holding a stock, and he needs to decide when to sell it for the last time with given time to sell T. It is ... See full document
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