Optimal liquidation of a call spread

DOI10.1239/jap/1276784911zbMath1193.91154OpenAlexW1995802520MaRDI QIDQ3578685

Henrik Wanntorp, Johan Tysk, Erik Ekström, Carl Lindberg

Publication date: 20 July 2010

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1276784911

zbMATH Keywords

optimal stoppingBachelier modelcall spread

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (5)

Optimal Stopping and Reselling of European Options ⋮ Optimal mean-reverting spread trading: nonlinear integral equation approach ⋮ RISK PREMIA AND OPTIMAL LIQUIDATION OF CREDIT DERIVATIVES ⋮ Convergence of option rewards for multivariate price processes ⋮ A CLOSED-FORM SOLUTION FOR OPTIMAL ORNSTEIN–UHLENBECK DRIVEN TRADING STRATEGIES

Cites Work

• Solving non–linear optimal stopping problems by the method of time–change
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