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.
Author: | Anastasia Kolodko, John Schoenmakers |
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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 |