Optimal liquidation of a call spread
Artikel i vetenskaplig tidskrift, 2010

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.

Optimal stopping

call spread

Bachelier model

Författare

E. Ekstrom

CARL LINDBERG

Chalmers, Matematiska vetenskaper, Matematik

Göteborgs universitet

J. Tysk

H. Wanntorp

Journal of Applied Probability

0021-9002 (ISSN)

Vol. 47 2 586-593

Ämneskategorier

Annan matematik