Optimal liquidation of a call spread

• 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.

Ämnesord

NATURVETENSKAP  -- Matematik (hsv//swe)

NATURAL SCIENCES  -- Mathematics (hsv//eng)

NATURVETENSKAP  -- Matematik -- Annan matematik (hsv//swe)

NATURAL SCIENCES  -- Mathematics -- Other Mathematics (hsv//eng)

Nyckelord

Optimal stopping

call spread

Bachelier model

MATHEMATICS

MATEMATIK

Optimal stopping

call spread

Bachelier model

Publikations- och innehållstyp

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