Options on Multiple Assets in a Mean-Reverting Model
We solve two optimal stopping problems whose payoR 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.
|Date of creation:||Jul 2010|
|Date of revision:|
|Contact details of provider:|| Postal: Yoshida-Honmachi, Sakyo-ku, Kyoto 606-8501|
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- Tristan Guillaume, 2008. "Making the best of best-of," Review of Derivatives Research, Springer, vol. 11(1), pages 1-39, March.
- Mark Broadie & Jérôme Detemple, 1997. "The Valuation of American Options on Multiple Assets," Mathematical Finance, Wiley Blackwell, vol. 7(3), pages 241-286.
- Stephane Villeneuve, 1999. "Exercise regions of American options on several assets," Finance and Stochastics, Springer, vol. 3(3), pages 295-322.
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