英文标题：
《Timing in the Presence of Directional Predictability: Optimal Stopping
of Skew Brownian Motion》
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作者：
Luis H. R. Alvarez E. and Paavo Salminen
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最新提交年份：
2016
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英文摘要：
We investigate a class of optimal stopping problems arising in, for example, studies considering the timing of an irreversible investment when the underlying follows a skew Brownian motion. Our results indicate that the local directional predictability modeled by the presence of a skew point for the underlying has a nontrivial and somewhat surprising impact on the timing incentives of the decision maker. We prove that waiting is always optimal at the skew point for a large class of exercise payoffs. An interesting consequence of this finding, which is in sharp contrast with studies relying on ordinary Brownian motion, is that the exercise region for the problem can become unconnected even when the payoff is linear. We also establish that higher skewness increases the incentives to wait and postpones the optimal timing of an investment opportunity. Our general results are explicitly illustrated for a piecewise linear payoff.
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中文摘要：
我们研究了一类最优停止问题，例如，当基础服从斜布朗运动时，考虑不可逆投资时机的研究。我们的结果表明，通过存在潜在的歪斜点来建模的局部方向可预测性对决策者的时间激励有着不平凡且有些令人惊讶的影响。我们证明了对于一大类的锻炼收益，等待在斜交点总是最优的。这一发现的一个有趣的结果与依赖于普通布朗运动的研究形成了鲜明的对比，即即使回报是线性的，问题的运动区域也可能变得不相连。我们还发现，更高的偏度会增加等待的动机，推迟投资机会的最佳时机。我们的一般结果是明确说明了分段线性回报。
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分类信息：

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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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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