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Iterative construction of the optimal Bermudan stopping time

Please always quote using this URN:urn:nbn:de:0296-matheon-1366
  • In this project we propose the use of some widespread prediction techniques in the last few years for modeling derivatives. In order to do that, we have reviewed the state-of-the-art of the prediction models dealing with stochastic processes. In the oil futures sector, Schwartz suggested a model in which the oil futures price was split in two factors: the long-term equilibrium price and the short-term variations. As a result, we propose a Hull-White discrete-time two-factor interest rate model, whose factors are the short and the long term.

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Metadaten
Author:Anastasia Kolodko, John Schoenmakers
URN:urn:nbn:de:0296-matheon-1366
Referee:Anton Bovier
Document Type:Preprint, Research Center Matheon
Language:English
Date of first Publication:2004/05/14
Release Date:2004/11/05
Institute:Weierstraß-Institut für Angewandte Analysis und Stochastik (WIAS)
Preprint Number:126
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