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Filtering by: Subject Optimal stopping (Mathematical statistics)

A new approach to pricing real options on swaps : a new solution technique and extension to the non-a.s. finite stopping realm

Creator:

Chu, Uran

Abstract:

This thesis consists of extensions of results on a perpetual American swaption problem. Companies routinely plan to swap uncertain benefits with uncertain costs in the future for their own benefits. Our work explores the choice of timing policies associated with the swap in the form of an optimal stopping problem....

Resource Type:

Dissertation