Search for dissertations about: "optimal stopping"

Showing result 21 - 25 of 37 swedish dissertations containing the words optimal stopping.

  2. 21. Topics in algorithmic, enumerative and geometric combinatorics

    Author : Ragnar Freij; Göteborgs universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Discrete Morse theory; simplicial G-complex; centrally symmetric polytope; split graph; derangement; pattern packing; composition; finite poset; optimal stopping; secretary problem.; finite poset;

    Abstract : This thesis presents five papers, studying enumerative and extremal problems on combinatorial structures. The first paper studies Forman's discrete Morse theory in the case where a group acts on the underlying complex. READ MORE

  4. 22. Semi-Markov Models for Insurance and Option Rewards

    Author : Fredrik Stenberg; Dmitrii Silvestrov; Kimmo Eriksson; Nikolaos Limnios; Mälardalens högskola; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; semi-Markov process; discrete time; insurance; actuarial; higher order reward; disability; variance; skewness; kurtosis; reward process; stochastic volatility; controlling semi-Markov process; Monte Carlo algorithm; convergence; optimal stopping; skeleton approximation; regime switching; semi-Markov modulated; European option; American option; Lévy process.; MATHEMATICS; MATEMATIK; Matematik tillämpad matematik;

    Abstract : This thesis presents studies of semi-Markov models for insurance and option rewards. The thesis consists of the introduction and six papers. The introduction presents the results of the thesis in an informal way.In paper A, a general semi-Markov reward model is presented. READ MORE

  5. 23. Structural studies of optimal stopping domains of American type call options

    Author : Henrik Jönsson; Mälardalens högskola; []
    Keywords : ;

    Abstract : .... READ MORE

  6. 24. Optimal Stopping Domains and Reward Functions for Discrete Time American Type Options

    Author : Henrik Jönsson; Dmitrii Silvestrov; Paavo Salminen; Mälardalens högskola; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; MATHEMATICS; MATEMATIK; Matematik tillämpad matematik;

    Abstract : Avhandlingen behandlar problemet att välja tidpunkt för att lösa in en amerikansk option. En amerikansk option ger ägaren rätten att köpa eller sälja en underliggande vara för ett fast pris, kallat lösenpriset, fram till och med en förbestämd tid, den så kallade slutdagen. READ MORE

  7. 25. On the Snell envelope approach to optimal switching and pricing Bermudan options

    Author : Ali Hamdi; Boualem Djehiche; Henrik Hult; Said Hamadène; KTH; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES;

    Abstract : 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. READ MORE