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dc.contributor.authorShin, Dong-Hoon
dc.date.accessioned2014-03-04T18:20:31Z
dc.date.available2014-03-04T18:20:31Z
dc.date.issued2009-08
dc.identifier.othershin_dong-hoon_200908_phd
dc.identifier.urihttp://purl.galileo.usg.edu/uga_etd/shin_dong-hoon_200908_phd
dc.identifier.urihttp://hdl.handle.net/10724/25939
dc.description.abstractWe consider optimal selling rules for stocks and options pricing under a regime-switching model which consists of a set of geometric Brownian motions. We introduce two approaches to study the underlying problems. One approach is via viscosity solutions with numerical methods and the other is to find a closed-form solution. Finding a closed form solution is usually applicable in only limited cases. In this dissertation, we study four related topics. As the first, we consider two different ways to evaluate closed-form solutions of American put options whose underlying asset is governed by regime-switching model. Second, we use viscosity solutions to attain the optimal value function under a regime-switching model of European call options. Third, we apply the method to solve optimal selling rules to buyand- sell problem under an underlying asset governed by a mean-reverting model. As the last part of this dissertation, we consider an optimal selling rule for a large block of stocks under a regime-switching model.
dc.languageeng
dc.publisheruga
dc.rightspublic
dc.subjectoptimal stopping, viscosity solution, mean-reverting process, regime switching
dc.titleRegime switching models and applications in optimal selling rules and options pricing
dc.typeDissertation
dc.description.degreePhD
dc.description.departmentMathematics
dc.description.majorMathematics
dc.description.advisorQing Zhang
dc.description.committeeQing Zhang
dc.description.committeeShuzhou Wang
dc.description.committeeRobert Varley
dc.description.committeeJingzhi Tie
dc.description.committeeDhandapani Kannan


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