英文标题：
《Analysis of the optimal exercise boundary of American put options with
delivery lags》
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作者：
Gechun Liang, Zhou Yang
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最新提交年份：
2020
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英文摘要：
A make-your-mind-up option is an American derivative with delivery lags. We show that its put option can be decomposed as a European put and a new type of American-style derivative. The latter is an option for which the investor receives the Greek Theta of the corresponding European option as the running payoff, and decides an optimal stopping time to terminate the contract. Based on this decomposition and using free boundary techniques, we show that the associated optimal exercise boundary exists and is a strictly increasing and smooth curve, and analyze the asymptotic behavior of the value function and the optimal exercise boundary for both large maturity and small time lag.
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中文摘要：
一个让你下定决心的选择是一种交付滞后的美国衍生品。我们证明了其看跌期权可以分解为一种欧式看跌期权和一种新型的美式衍生工具。后者是一种期权，投资者获得相应欧洲期权的希腊θ作为运行回报，并决定终止合同的最佳停止时间。基于此分解，利用自由边界技术，我们证明了相关的最优执行边界存在，并且是一条严格递增的光滑曲线，并分析了值函数和最优执行边界在大成熟度和小时滞条件下的渐近行为。
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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：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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