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....
This dissertation consists of three papers studying optimization, conservation
and valuation of contingent claims in economic resource nianagement under
uncertainty.
In the first paper the Markovian optinial policies are studied for resource
management in a finite time horizon. Under sonic conditions, in particular, when
the prices are stochastic and there...