Options on Multiple Assets in a Mean-Reverting Model

Masahiko Egami and Tadao Oryu

Discussion papers from Graduate School of Economics Project Center, Kyoto University

Abstract: We solve two optimal stopping problems whose payoR functions are the maximum and the minimum of two state variables driven by the Ornstein-Uhlenbeck processes. We consider a class of problems where we obtain analytical solutions. Furthermore, by making use of the analytical results we study some properties of exercise regions including convexity, symmetry, and continuity.

Keywords: American options on multiple assets; Optimal stopping; Mean-reverting model (search for similar items in EconPapers)
JEL-codes: C11 G13 (search for similar items in EconPapers)
Pages: 18 pages
Date: 2010-07
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Persistent link: https://EconPapers.repec.org/RePEc:kue:dpaper:e-10-005

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