英文标题：
《Double continuation regions for American and Swing options with negative
discount rate in L\\\'evy models》
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作者：
Marzia De Donno, Zbigniew Palmowski, and Joanna Tumilewicz
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最新提交年份：
2019
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英文摘要：
In this paper we study perpetual American call and put options in an exponential L\\\'evy model. We consider 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. We show that in this case a double continuation region arises and we identify the two critical prices. We also generalize this result to multiple stopping problems of Swing type, that is, when successive exercise opportunities are separated by i.i.d. random refraction times. We conduct an extensive numerical analysis for the Black-Scholes model and the jump-diffusion model with exponentially distributed jumps.
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中文摘要：
在这篇文章中，我们研究了指数Levy模型中的永久美式看涨期权和看跌期权。我们考虑在许多金融应用中产生的负有效贴现率，包括股票贷款和实物期权，其中履约价格可能以高于原始贴现系数的速度增长。我们证明了在这种情况下，会出现一个双连续区域，并确定了两个临界价格。我们还将这一结果推广到摆动型多个停止问题，即当连续的运动机会被i.i.d.随机折射时间分隔时。我们对Black-Scholes模型和具有指数分布跳跃的跳跃扩散模型进行了广泛的数值分析。
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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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