Pricing perpetual American-type strangle option for merton's jump diffusion process
buir.advisor | Dayanık, Savaş | |
dc.contributor.author | Onat, Ayşegül | |
dc.date.accessioned | 2016-01-08T20:02:47Z | |
dc.date.available | 2016-01-08T20:02:47Z | |
dc.date.issued | 2014 | |
dc.description | Cataloged from PDF version of article. | en_US |
dc.description | Includes bibliographical references leaves 53-54. | en_US |
dc.description.abstract | A 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.statementofresponsibility | Onat, Ayşegül | en_US |
dc.format.extent | x, 66 leaves, charts | en_US |
dc.identifier.uri | http://hdl.handle.net/11693/16902 | |
dc.language.iso | English | en_US |
dc.rights | info:eu-repo/semantics/openAccess | en_US |
dc.subject | Optimal stopping | en_US |
dc.subject | perpetual | en_US |
dc.subject | strangle option | en_US |
dc.subject | Markov jump diffusion processes | en_US |
dc.subject.lcc | QA274.75 .O53 2014 | en_US |
dc.subject.lcsh | Markov processes. | en_US |
dc.subject.lcsh | Diffusion processes. | en_US |
dc.subject.lcsh | Optimal stopping (Mathematical statistics) | en_US |
dc.title | Pricing perpetual American-type strangle option for merton's jump diffusion process | en_US |
dc.type | Thesis | en_US |
thesis.degree.discipline | Industrial Engineering | |
thesis.degree.grantor | Bilkent University | |
thesis.degree.level | Master's | |
thesis.degree.name | MS (Master of Science) |
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