关于 Levy 过程的首达时、美式看跌期权与粘贴原则的一些注记
摘要
本文旨在借助一个波动恒等式，在 Levy 过程越过固定水平的上方/下方首达时间与越幅的若干已知恒等式，以及 Gerber 和 Shiu [Astin Bull. 24 (1994) 195-220]、Boyarchenko 和 Levendorskii [Working paper series EERS 98/02 (1998), Unpublished manuscript (1999), SIAM J. Control Optim. 40 (2002) 1663-1696]、Chan [Original unpublished manuscript (2000)]、Avram、Chan 和 Usabel [Stochastic Process. Appl. 100 (2002) 75-107]、Mordecki [Finance Stoch. 6 (2002) 473-493]、Asmussen、Avram 和 Pistorius [Stochastic Process. Appl. 109 (2004) 79-111] 与 Chesney 和 Jeanblanc [Appl. Math. Fin. 11 (2004) 207-225] 对美式永久看跌期权最优停止问题的解之间，提供一种通用的联系。此外，我们使相关 folklore 精确化，并给出在所考虑问题中发生光滑粘贴的充要条件。
引用
@article{arxiv.math/0508487,
title = {Some remarks on first passage of Levy processes, the American put and pasting principles},
author = {L. Alili and A. E. Kyprianou},
journal= {arXiv preprint arXiv:math/0508487},
year = {2008}
}
备注
Published at http://dx.doi.org/10.1214/105051605000000377 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)