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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
1

Optimal Stopping Problems and American Options

Uys, Nadia 24 April 2006 (has links)
Degree: Master of Science Department: Science / The superharmonic characterization of the value function is proved, under the assumption that an optimal stopping time exists. The fair price of an American contingent claim is established as an optimal stopping problem. The price of the perpetual Russian option is derived, using the dual martingale measure to reduce the dimension of the problem. American barrier options are discussed, and the solution to the perpetual American up-and-out put is derived. The price of the American put on a finite time horizon is shown to be the price of the European put plus an early exercise premium, through the use of a local time-space formula. The optimal stopping boundary is characterised as the unique increasing solution of a non-linear integral equation. Finally, the integral representation of the price of an American floating strike Asian call with arithmetic averaging is derived.

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