论文标题
在泊松运动机会下的美国选择的双重延续区域
Double continuation regions for American options under Poisson exercise opportunities
论文作者
论文摘要
我们考虑了永久性呼叫的Lévy模型，并在Poisson观察结果下以负折现率进行了选择。与De Donno等人的连续观察情况相似。 [24]，表征最佳停止时间的停止区域是半线或间隔。本文的目的是获得停止和延续区域以及价值函数的明确表达，重点是频谱正和负面案例。为此，我们计算了与第一个泊松到达时间到达间隔的身份，然后将这些身份应用于最佳策略的计算。我们还讨论了随着观察速率增加到无穷大的，最佳解决方案与连续观察案例中的解决方案的收敛性。还提供了数值实验。
We consider the Lévy model of the perpetual American call and put options with a negative discount rate under Poisson observations. Similar to the continuous observation case as in De Donno et al. [24], the stopping region that characterizes the optimal stopping time is either a half-line or an interval. The objective of this paper is to obtain explicit expressions of the stopping and continuation regions and the value function, focusing on spectrally positive and negative cases. To this end, we compute the identities related to the first Poisson arrival time to an interval via the scale function and then apply those identities to the computation of the optimal strategies. We also discuss the convergence of the optimal solutions to those in the continuous observation case as the rate of observation increases to infinity. Numerical experiments are also provided.
