Some aspects of optimal switching and pricing Bermudan options
This thesis consists of four papers that are all related to the Snell envelope. In the first paper, the Snell envelope is used as a formulation of a two-modes optimal switching problem. The obstacles are interconnected, take both profit and cost yields into account, and switching is based on both si...
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| Format: | Doctoral Thesis |
| Language: | English |
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KTH, Matematisk statistik
2013
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-120478 http://nbn-resolving.de/urn:isbn:978-91-7501-707-5 |