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.
NATURVETENSKAP -- Matematik (hsv//swe)
NATURAL SCIENCES -- Mathematics (hsv//eng)
NATURVETENSKAP -- Matematik -- Annan matematik (hsv//swe)
NATURAL SCIENCES -- Mathematics -- Other Mathematics (hsv//eng)