Optimal liquidation of a call spread
Erik Ekström, Carl Lindberg, Johan Tysk, and Henrik Wanntorp
Source: J. Appl. Probab. Volume 47, Number 2
(2010), 586-593.
Abstract
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.
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Links and Identifiers
Permanent link to this document: http://projecteuclid.org/euclid.jap/1276784911
Digital Object Identifier: doi:10.1239/jap/1276784911
Mathematical Reviews number (MathSciNet): MR2668508
Zentralblatt MATH identifier: 1193.91154
References
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Journal of Applied Probability
