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Mathematical and Statistical Models and Methods in Reliability pp 371–389Cite as

Birkhäuser

Optimal Stopping and Reselling of European Options

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Abstract

We consider the problem of optimal reselling of European options. A bivariate exponential diffusion process is used to describe the reselling model. In this way, the reselling problem is imbedded to the model of finding optimal reward for American type option based on this process. Convergence results are formulated for optimal reward functionals of American type options for perturbed multi-variate Markov processes. An approximation bivariate tree model is constructed and convergence of optimal expected reward for this tree model to the optimal expected reward for the corresponding reselling model is proved.

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Author information

Authors and Affiliations

  1. Mälardalen University, Västerås, Sweden

    Robin Lundgren

  2. Stockholm University, Stockholm, Sweden

    Dmitrii S. Silvestrov

Authors
  1. Robin Lundgren
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  2. Dmitrii S. Silvestrov
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Corresponding author

Correspondence to Robin Lundgren .

Editor information

Editors and Affiliations

  1. Department of Applied Mathematics, Gubkin Russian State University of Oil a, Leninskii Prospekt 65, Moskva, 117917, Russian Federation

    V.V. Rykov

  2. McMaster University, Department of Mathematics and Statistics, 1280 Main Street West, Hamilton, L8S 4K1, Ontario, Canada

    N. Balakrishnan

  3. Université Victor Segalen Bordeaux 2, I’lnstitut de Mathématiques de Bordeaux, Bordeaux Cedex, 33076, France

    M.S. Nikulin

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Lundgren, R., Silvestrov, D.S. (2010). Optimal Stopping and Reselling of European Options. In: Rykov, V., Balakrishnan, N., Nikulin, M. (eds) Mathematical and Statistical Models and Methods in Reliability. Statistics for Industry and Technology. Birkhäuser, Boston, MA. https://doi.org/10.1007/978-0-8176-4971-5_29

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