On the Snell envelope approach to optimal switching and pricing Bermudan options
This thesis consists of two papers related to systems of Snell envelopes. The first paper uses a system of Snell envelopes to formulate the problem of two-modes optimal switching for the full balance sheet in finite horizon. This means that the switching problem is formulated in terms of trade-off s...
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| Format: | Others |
| Language: | English |
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KTH, Matematisk statistik
2011
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-42274 http://nbn-resolving.de/urn:isbn:978-91-7501-108-0 |