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

http://ir.library.oregonstate.edu/concern/graduate_thesis_or_dissertations/zw12z757j

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  • 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. In this thesis, we have shown that Hu, Oksendal's (1998) condition given in their paper to guarantee that the optimal stopping time is a.s. finite is in fact both a necessary and sufficient condition. We have extended the solution to the problem from a region in the parameter space where optimal stopping times are a.s. finite to a region where optimal stopping times are non-a.s. finite, and have successfully calculated the probability of never stopping in this latter region. We have identified the joint distribution for stopping times and stopping locations in both the a.s. and non-a.s. finite stopping cases. We have also come up with an integral formula for the inner product of a generalized hyperbolic distribution with the Cauchy distribution. Also, we have applied our results to a back-end forestry harvesting model where stochastic costs are assumed to exponentiate upwards to infinity through time.
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  • description.provenance : Rejected by Julie Kurtz(julie.kurtz@oregonstate.edu), reason: Rejecting to revise the Approval page so the second line reads- Co-Major Professor, representing Statistics. Once revised, open the item that was rejected. Replace the attached file with the revised file and resubmit. Thanks, Julie on 2012-07-06T16:56:56Z (GMT)
  • description.provenance : Submitted by Uran Chu (chuu@onid.orst.edu) on 2012-07-05T16:44:18Z No. of bitstreams: 3 license_rdf: 21091 bytes, checksum: 6b700a38fb61133bb71e5cac54dd59be (MD5) license_text: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) ChuUranW2012.pdf: 764441 bytes, checksum: 49102f8df38c023bdd3156e85e246a93 (MD5)
  • description.provenance : Made available in DSpace on 2012-07-09T21:10:05Z (GMT). No. of bitstreams: 3 license_rdf: 21091 bytes, checksum: 6b700a38fb61133bb71e5cac54dd59be (MD5) license_text: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) ChuUranW2012.pdf: 764434 bytes, checksum: a63f0ade864a7352231ec2f7a2afe575 (MD5) Previous issue date: 2012-06-07
  • description.provenance : Approved for entry into archive by Laura Wilson(laura.wilson@oregonstate.edu) on 2012-07-09T21:10:05Z (GMT) No. of bitstreams: 3 license_rdf: 21091 bytes, checksum: 6b700a38fb61133bb71e5cac54dd59be (MD5) license_text: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) ChuUranW2012.pdf: 764434 bytes, checksum: a63f0ade864a7352231ec2f7a2afe575 (MD5)
  • description.provenance : Submitted by Uran Chu (chuu@onid.orst.edu) on 2012-07-06T21:26:01Z No. of bitstreams: 3 license_rdf: 21091 bytes, checksum: 6b700a38fb61133bb71e5cac54dd59be (MD5) license_text: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) ChuUranW2012.pdf: 764434 bytes, checksum: a63f0ade864a7352231ec2f7a2afe575 (MD5)
  • description.provenance : Approved for entry into archive by Julie Kurtz(julie.kurtz@oregonstate.edu) on 2012-07-09T15:55:01Z (GMT) No. of bitstreams: 3 license_rdf: 21091 bytes, checksum: 6b700a38fb61133bb71e5cac54dd59be (MD5) license_text: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) ChuUranW2012.pdf: 764434 bytes, checksum: a63f0ade864a7352231ec2f7a2afe575 (MD5)

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