Continuously controlled options: derivatives with added flexibility
The paper introduces special options such that the holder selects dynamically a continuous time process controlling the distribution of the payments (benefits) over time. For instance, the holder can select dynamically the quantity of a commodity purchased or sold by a fixed price given constraints...
| Main Author: | |
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| Format: | Journal Article |
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World Scientific
2013
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| Online Access: | http://hdl.handle.net/20.500.11937/18368 |
| _version_ | 1848749725798367232 |
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| author | Dokuchaev, Nikolai |
| author_facet | Dokuchaev, Nikolai |
| author_sort | Dokuchaev, Nikolai |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | The paper introduces special options such that the holder selects dynamically a continuous time process controlling the distribution of the payments (benefits) over time. For instance, the holder can select dynamically the quantity of a commodity purchased or sold by a fixed price given constraints on the cumulative quantity. In a modification of the Asian option, the control process can represent the averaging kernel describing the distribution of the purchases. The pricing of these options requires to solve special stochastic control problems with constraints for the cumulative control similar to a knapsack problem. Some existence results and pricing rules are obtained via modifications of parabolic Bellman equations. |
| first_indexed | 2025-11-14T07:25:30Z |
| format | Journal Article |
| id | curtin-20.500.11937-18368 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T07:25:30Z |
| publishDate | 2013 |
| publisher | World Scientific |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-183682019-02-19T04:26:40Z Continuously controlled options: derivatives with added flexibility Dokuchaev, Nikolai controlled options knapsack problem exotic options HJB equation stochastic control continuous time market The paper introduces special options such that the holder selects dynamically a continuous time process controlling the distribution of the payments (benefits) over time. For instance, the holder can select dynamically the quantity of a commodity purchased or sold by a fixed price given constraints on the cumulative quantity. In a modification of the Asian option, the control process can represent the averaging kernel describing the distribution of the purchases. The pricing of these options requires to solve special stochastic control problems with constraints for the cumulative control similar to a knapsack problem. Some existence results and pricing rules are obtained via modifications of parabolic Bellman equations. 2013 Journal Article http://hdl.handle.net/20.500.11937/18368 10.1142/S0219024913500039 World Scientific fulltext |
| spellingShingle | controlled options knapsack problem exotic options HJB equation stochastic control continuous time market Dokuchaev, Nikolai Continuously controlled options: derivatives with added flexibility |
| title | Continuously controlled options: derivatives with added flexibility |
| title_full | Continuously controlled options: derivatives with added flexibility |
| title_fullStr | Continuously controlled options: derivatives with added flexibility |
| title_full_unstemmed | Continuously controlled options: derivatives with added flexibility |
| title_short | Continuously controlled options: derivatives with added flexibility |
| title_sort | continuously controlled options: derivatives with added flexibility |
| topic | controlled options knapsack problem exotic options HJB equation stochastic control continuous time market |
| url | http://hdl.handle.net/20.500.11937/18368 |