On the Snell envelope approach to optimal switching and pricing Bermudan options
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. This means that the switching problem is formulated in terms of trade-off strategies between expected profit and cost yields, which act as obstacles to each other. Existenc…
Contributors
- Djehiche Boualem Professor
- Hult Henrik Associate Professor, docent
- Hamadène Said Professor
- KTH Skolan för teknikvetenskap (SCI) Matematik (Inst.) Matematisk statistik
Creator
- Hamdi Ali , KTH, Matematisk statistik
Publisher
- KTH Royal Institute of Technology
Type of item
- Other academic
- Licentiate thesis, comprehensive summary
- dissertation
- Thesis
Date
- 2011
- 2011-10-20
- 2011-10-13
- 2011-10-13
- 2011-10-20
- 2011
Contributors
- Djehiche Boualem Professor
- Hult Henrik Associate Professor, docent
- Hamadène Said Professor
- KTH Skolan för teknikvetenskap (SCI) Matematik (Inst.) Matematisk statistik
Creator
- Hamdi Ali , KTH, Matematisk statistik
Publisher
- KTH Royal Institute of Technology
Type of item
- Other academic
- Licentiate thesis, comprehensive summary
- dissertation
- Thesis
Date
- 2011
- 2011-10-20
- 2011-10-13
- 2011-10-13
- 2011-10-20
- 2011
Providing institution
Aggregator
Rights statement for the media in this item (unless otherwise specified)
- http://rightsstatements.org/vocab/InC/1.0/
- http://rightsstatements.org/vocab/InC/1.0/
Identifier
- oai:DiVA.org:kth-42274
Format
- electronicviii
- electronic
- viii
Language
- en
- en
Is part of
- http://data.theeuropeanlibrary.org/Collection/a1041
Relations
- Trita-MAT1401-228611:01
Year
- 2011
Providing country
- Sweden
Collection name
First time published on Europeana
- 2014-09-07T11:22:15.263Z
Last time updated from providing institution
- 2014-09-07T11:22:15.263Z