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A New Approach to Pricing Real Optio...

Chu, Uran.

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A New Approach to Pricing Real Options on Swaps: A New Solution Technique and Extension to the Non-a.s. Finite Stopping Realm.

Record Type:	Language materials, printed : Monograph/item
Title/Author:	A New Approach to Pricing Real Options on Swaps: A New Solution Technique and Extension to the Non-a.s. Finite Stopping Realm./
Author:	Chu, Uran.
Description:	168 p.
Notes:	Source: Dissertation Abstracts International, Volume: 74-04(E), Section: B.
Contained By:	Dissertation Abstracts International74-04B(E).
Subject:	Statistics. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3531997
ISBN:	9781267744388

A New Approach to Pricing Real Options on Swaps: A New Solution Technique and Extension to the Non-a.s. Finite Stopping Realm.
Chu, Uran.

A New Approach to Pricing Real Options on Swaps: A New Solution Technique and Extension to the Non-a.s. Finite Stopping Realm. - 168 p.

Source: Dissertation Abstracts International, Volume: 74-04(E), Section: B.

Thesis (Ph.D.)--Oregon State University, 2013.

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.

ISBN: 9781267744388Subjects--Topical Terms:

517247
Statistics.

A New Approach to Pricing Real Options on Swaps: A New Solution Technique and Extension to the Non-a.s. Finite Stopping Realm.
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020 $a 9781267744388
035 $a (MiAaPQ)AAI3531997
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100 1 $a Chu, Uran. $3 2096436
245 1 2 $a A New Approach to Pricing Real Options on Swaps: A New Solution Technique and Extension to the Non-a.s. Finite Stopping Realm.
300 $a 168 p.
500 $a Source: Dissertation Abstracts International, Volume: 74-04(E), Section: B.
500 $a Advisers: Robert T. Smythe; Edward C. Waymire.
502 $a Thesis (Ph.D.)--Oregon State University, 2013.
520 $a 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.
520 $a 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.
590 $a School code: 0172.
650 4 $a Statistics. $3 517247
650 4 $a Applied Mathematics. $3 1669109
650 4 $a Economics, Finance. $3 626650
690 $a 0463
690 $a 0364
690 $a 0508
710 2 $a Oregon State University. $b Statistics. $3 2096437
773 0 $t Dissertation Abstracts International $g 74-04B(E).
790 $a 0172
791 $a Ph.D.
792 $a 2013
793 $a English
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3531997