Abel Azze, Bernardo D'Auria, Eduardo García-Portugués
{"title":"在随时间变化的 Ornstein-Uhlenbeck 过程下美式期权的最佳行使方式","authors":"Abel Azze, Bernardo D'Auria, Eduardo García-Portugués","doi":"10.1080/17442508.2024.2325402","DOIUrl":null,"url":null,"abstract":"We study the barrier that gives the optimal time to exercise an American option written on a time-dependent Ornstein–Uhlenbeck process, a diffusion often adopted by practitioners to model commodity...","PeriodicalId":501524,"journal":{"name":"Stochastics","volume":"69 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2024-03-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Optimal exercise of American options under time-dependent Ornstein–Uhlenbeck processes\",\"authors\":\"Abel Azze, Bernardo D'Auria, Eduardo García-Portugués\",\"doi\":\"10.1080/17442508.2024.2325402\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We study the barrier that gives the optimal time to exercise an American option written on a time-dependent Ornstein–Uhlenbeck process, a diffusion often adopted by practitioners to model commodity...\",\"PeriodicalId\":501524,\"journal\":{\"name\":\"Stochastics\",\"volume\":\"69 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2024-03-12\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Stochastics\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1080/17442508.2024.2325402\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Stochastics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1080/17442508.2024.2325402","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Optimal exercise of American options under time-dependent Ornstein–Uhlenbeck processes
We study the barrier that gives the optimal time to exercise an American option written on a time-dependent Ornstein–Uhlenbeck process, a diffusion often adopted by practitioners to model commodity...
求助内容：
应助结果提醒方式：
京公网安备 11010802042870号
