Options on Multiple Assets in a Mean-Reverting Model
説明
We solve two optimal stopping problems whose payoff functions are the maximum and the minimum of two state variables driven by the Ornstein-Uhlenbeck processes. We consider a class of problems where we obtain analytical solutions. Furthermore, by making use of the analytical results we study some properties of exercise regions including convexity, symmetry, and continuity.
収録刊行物
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- SSRN Electronic Journal
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SSRN Electronic Journal 2010-01-01
Elsevier BV