英文标题：
《On Trading American Put Options with Interactive Volatility》
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作者：
Sigurd Assing and Yufan Zhao
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最新提交年份：
2017
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英文摘要：
We introduce a simple stochastic volatility model, whose novelty consists in taking into account hitting times of the asset price, and study the optimal stopping problem corresponding to a put option whose time horizon (after the asset price hits a certain level) is exponentially distributed. We obtain explicit optimal stopping rules in various cases one of which is interestingly complex because of an unexpected disconnected continuation region. Finally, we discuss in detail how these stopping rules could be used for trading an American put when the trader expects a market drop in the near future.
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中文摘要：
我们引入了一个简单的随机波动率模型，其新颖之处在于考虑了资产价格的击中次数，并研究了时间范围（在资产价格达到一定水平后）呈指数分布的看跌期权的最优停止问题。在各种情况下，我们得到了显式的最优停止规则，其中一个有趣的是，由于意外的断开连续区域，它非常复杂。最后，我们详细讨论了当交易员预期近期市场下跌时，这些止损规则如何用于美国看跌期权的交易。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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