On the regularity of American options with regime-switching uncertainty

We study the regularity of the stochastic representation of the solution of a class of initial-boundary value problems related to a regime-switching diffusion. This representation is related to the value function of a finite-horizon optimal stopping problem such as the price of an American-style option in finance. We show continuity and smoothness of the value function using coupling and time-change techniques. As an application, we find the minimal payoff scenario for the holder of an American-style option in the presence of regime-switching uncertainty under the assumption that the transition rates are known to lie within level-dependent compact sets.Comment: 22 pages, to appear in Stochastic Processes and their Application

Monotonicity of the value function for a two-dimensional optimal stopping problem

We consider a pair $(X,Y)$ of stochastic processes satisfying the equation $dX=a(X)Y\,dB$ driven by a Brownian motion and study the monotonicity and continuity in $y$ of the value function $v(x,y)=\sup_{\tau}E_{x,y}[e^{-q\tau}g(X_{\tau})]$, where the supremum is taken over stopping times with respect to the filtration generated by $(X,Y)$. Our results can successfully be applied to pricing American options where $X$ is the discounted price of an asset while $Y$ is given by a stochastic volatility model such as those proposed by Heston or Hull and White. The main method of proof is based on time-change and coupling.Comment: Published in at http://dx.doi.org/10.1214/13-AAP956 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org

Relación entre nivel de activación y rendimiento en una muestra de atletas adolescentes en pruebas de velocidad

Comunicación presentada al XIV Congreso Andaluz y Iº Internacional Luso-Andaluz de Psicología del Deporte y de la Actividad FísicaEn pruebas de velocidad, en Atletismo, se toma una muestra de 15 Atletas adolescentes, relacionando la toma en conciencia de su nivel óptimo con autohabla y conocimiento, a modo de biofeedback, de sus registros fisiológicos, como medio para mejorar su rendimiento.Universidad de Málaga. Campus de Excelencia Internacional Andalucía Tech. ASOCIACIÓN PSICOLOGÍA DEL DEPORTE DE ANDALUCÍ