Optimal Multiple Stopping of Linear Diffusions
Optimal Multiple Stopping of Linear Diffusions
复制标题
线性扩散的最优多次停止
DOI：
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发表时间：
2008
影响因子：
1.7
通讯作者：
Savas Dayanik
中科院分区：
文献类型：
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作者：
R. Carmona;Savas Dayanik
在分析具有多个行权权的美式金融工具的基础上，建立并求解了一般线性正则扩散过程和一般报酬函数的最优多重停止问题。我们不像大多数现有文献那样依赖几何布朗运动以及看涨和卖出期权收益的特定性质，而是使用扩散的最优停止的一般理论，并通过具体的例子和构造性的食谱来说明所得到的最优行使策略。
Motivated by the analysis of financial instruments with multiple exercise rights of American type and mean reverting underlyers, we formulate and solve the optimal multiple-stopping problem for a general linear regular diffusion process and a general reward function. Instead of relying on specific properties of geometric Brownian motion and call and put option payoffs as in most of the existing literature, we use general theory of optimal stopping for diffusions, and we illustrate the resulting optimal exercise policies by concrete examples and constructive recipes.