Calibration, Optimality and Financial Mathematics

Calibration, Optimality and Financial Mathematics

This thesis consists of a summary and five papers, dealing with financial applications of optimal stopping, optimal control and volatility. In Paper I, we present a method to recover a time-independent piecewise constant volatility from a finite set of perpetual American put option prices. In Paper...

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Bibliographic Details
Main Author: Lu, Bing
Format: Doctoral Thesis
Language:English
Published: Uppsala universitet, Matematiska institutionen 2013
Subjects:
perpetual put option
calibration of models
piecewise constant volatility
optimal liquidation of an asset
incomplete information
optimal stopping
jump-diffusion model
optimal distribution of dividends
singular stochastic control
implied volatility
exponential Lévy models
short-time asymptotic behavior.
Online Access:http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-209235
http://nbn-resolving.de/urn:isbn:978-91-506-2377-2

Internet

http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-209235
http://nbn-resolving.de/urn:isbn:978-91-506-2377-2

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