英文标题：
《Optimal Multiple Stopping with Negative Discount Rate and Random
Refraction Times under Levy Models》
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作者：
Tim Leung and Kazutoshi Yamazaki and Hongzhong Zhang
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最新提交年份：
2015
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英文摘要：
This paper studies a class of optimal multiple stopping problems driven by L\\\'evy processes. Our model allows for a negative effective discount rate, which arises in a number of financial applications, including stock loans and real options, where the strike price can potentially grow at a higher rate than the original discount factor. Moreover, successive exercise opportunities are separated by i.i.d. random refraction times. Under a wide class of two-sided L\\\'evy models with a general random refraction time, we rigorously show that the optimal strategy to exercise successive call options is uniquely characterized by a sequence of up-crossing times. The corresponding optimal thresholds are determined explicitly in the single stopping case and recursively in the multiple stopping case.
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中文摘要：
本文研究了一类由Léevy过程驱动的最优多重停止问题。我们的模型允许负的有效贴现率，这在许多金融应用中都会出现，包括股票贷款和实物期权，其中执行价格的增长率可能高于原始贴现率。此外，连续的锻炼机会由i.i.d.随机折射时间分隔。在具有一般随机折射时间的一类广泛的双边Léevy模型下，我们严格地证明了行使连续看涨期权的最优策略的唯一特征是一系列上交时间。相应的最佳阈值在单次停止情况下显式确定，在多次停止情况下递归确定。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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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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