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.

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Year of publication:	2010-07
Authors:	Egami, Masahiko ; Oryu, Tadao
Institutions:	Graduate School of Economics, Kyoto University
Subject:	American options on multiple assets \| Optimal stopping \| Mean-reverting model

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Extent:	application/pdf
Series:	Discussion papers.
Type of publication:	Book / Working Paper
Notes:	18 pages
Classification:	C11 - Bayesian Analysis ; G13 - Contingent Pricing; Futures Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010717429