论文标题
Lévy模型中的最后一段美国可取消选择
Last passage American cancellable option in Lévy models
论文作者
论文摘要
我们得出了在基础以上固定水平以上的最后一段时间取消的永久美国职位期权的明确价格。我们假设资产过程受几何频谱负Lévy过程的控制。我们表明，最佳锻炼时间是资产价格过程降至最佳阈值以下时的第一个时期。我们还考虑了经典的黑色choles模型以及资产价格对数具有额外的指数向下冲击的模型。证明是基于一些列维过程的一些马丁加尔论点和波动理论。
We derive the explicit price of the perpetual American put option cancelled at the last passage time of the underlying above some fixed level. We assume the asset process is governed by a geometric spectrally negative Lévy process. We show that the optimal exercise time is the first epoch when asset price process drops below an optimal threshold. We perform numerical analysis as well considering classical Black-Scholes models and the model where logarithm of the asset price has additional exponential downward shocks. The proof is based on some martingale arguments and fluctuation theory of Lévy processes.
