英文标题：
《Early exercise decision in American options with dividends, stochastic
volatility and jumps》
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作者：
Antonio Cosma, Stefano Galluccio, Paola Pederzoli, Olivier Scaillet
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最新提交年份：
2016
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英文摘要：
Using a fast numerical technique, we investigate a large database of investor suboptimal non-exercise of short maturity American call options on dividend-paying stocks listed on the Dow Jones. The correct modelling of the discrete dividend is essential for a correct calculation of the early exercise boundary as confirmed by theoretical insights. Pricing with stochastic volatility and jumps instead of the Black-Scholes-Merton benchmark cuts by a quarter the amount lost by investors through suboptimal exercise. The remaining three quarters are largely unexplained by transaction fees and may be interpreted as an opportunity cost for the investors to monitor optimal exercise.
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中文摘要：
利用快速数值技术，我们研究了一个大型数据库，该数据库记录了投资者在道琼斯上市的股息支付股票上的次优短期美国看涨期权未行权情况。正如理论见解所证实的那样，离散股息的正确建模对于正确计算早期行使边界至关重要。采用随机波动率和跳跃定价，而不是Black-Scholes-Merton基准，将投资者因次优行使而损失的金额减少四分之一。剩下的三个季度在很大程度上无法解释交易费用，可能被解释为投资者监控最佳行使的机会成本。
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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：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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