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dc.contributor.advisorDayanık, Savaşen_US
dc.contributor.authorOnat, Ayşegülen_US
dc.date.accessioned2016-01-08T20:02:47Z
dc.date.available2016-01-08T20:02:47Z
dc.date.issued2014
dc.identifier.urihttp://hdl.handle.net/11693/16902
dc.descriptionAnkara : The Department of Industrial Engineering and the Graduate School of Engineering and Science of Bilkent University, 2014.en_US
dc.descriptionThesis (Master's) -- Bilkent University, 2014.en_US
dc.descriptionIncludes bibliographical references leaves 53-54.en_US
dc.description.abstractA stock price Xt evolves according to jump diffusion process with certain parameters. An asset manager who holds a strangle option on that stock, wants to maximize his/her expected payoff over the infinite time horizon. We derive an optimal exercise rule for asset manager when the underlying stock is dividend paying and non-dividend paying. We conclude that optimal stopping strategy changes according to stock’s dividend rate. We also illustrate the solution on numerical examples.en_US
dc.description.statementofresponsibilityOnat, Ayşegülen_US
dc.format.extentx, 66 leaves, chartsen_US
dc.language.isoEnglishen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectOptimal stoppingen_US
dc.subjectperpetualen_US
dc.subjectstrangle optionen_US
dc.subjectMarkov jump diffusion processesen_US
dc.subject.lccQA274.75 .O53 2014en_US
dc.subject.lcshMarkov processes.en_US
dc.subject.lcshDiffusion processes.en_US
dc.subject.lcshOptimal stopping (Mathematical statistics)en_US
dc.titlePricing perpetual American-type strangle option for merton's jump diffusion processen_US
dc.typeThesisen_US
dc.departmentDepartment of Industrial Engineeringen_US
dc.publisherBilkent Universityen_US
dc.description.degreeM.S.en_US


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