Options on Multiple Assets in a Mean-Reverting Model

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

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Year of publication:	2010
Authors:	Egami, Masahiko
Other Persons:	Oryu, Tadao (contributor)
Publisher:	[2010]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Mean Reversion \| Mean reversion \| CAPM \| Portfolio-Management \| Portfolio selection \| Zinsderivat \| Interest rate derivative

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