Browsing NHH Brage by Subject "optimal exercise policy"

Now showing items 1-3 of 3

    • American derivatives : a review 

      Aase, Knut K. (Discussion paper, Working paper, 1997-12)
      The paper gives an overview over the theory of pricing and hedging financial derivatives that can be exercised at any time during a fixed time interval [0, T]. The analysis makes use of the theory of optimal stopping, and ...

    • The perpetual American put option for jump-diffusions : implications for equity premiums 

      Aase, Knut K. (Discussion paper, Working paper, 2004-12)
      In this paper we solve an optimal stopping problem with an infinite time horizon, when the state variable follows a jump-diffusion. Under certain conditions our solution can be interpreted as the price of an American ...

    • The perpetual American put option for jump-diffusions with applications 

      Aase, Knut K. (Discussion paper, Working paper, 2005-11)
      In this paper we solve an optimal stopping problem with an infinite time horizon, when the state variable follows a jump-diffusion. Under certain conditions our solution can be interpreted as the price of an American ...