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Optimal liquidation of a call spread

E. Ekstrom ; Carl Lindberg (Institutionen för matematiska vetenskaper, matematik) ; J. Tysk ; H. Wanntorp
Journal of Applied Probability (0021-9002). Vol. 47 (2010), 2, p. 586-593.
[Artikel, refereegranskad vetenskaplig]

We study the optimal liquidation strategy for a call spread in the case when an investor, who does not hedge, believes in a volatility that differs from the implied volatility. The liquidation problem is formulated as an optimal stopping problem, which we solve explicitly. We also provide a sensitivity analysis with respect to the model parameters.

Nyckelord: Optimal stopping, call spread, Bachelier model

Denna post skapades 2010-07-26.
CPL Pubid: 123951


Institutioner (Chalmers)

Institutionen för matematiska vetenskaper, matematik (2005-2016)


Annan matematik

Chalmers infrastruktur