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摘要翻译：
永久美式期权是一种可以随时行使且不到期的金融工具。本文详细研究了这类最流行的衍生品的定价问题，在一个框架内，标的股票的某些属性波动率和股利政策可以在随机的瞬间发生变化，但我们可以预测它们的最终值。在这个假设下，我们可以模拟实际的市场条件，因为大多数相关的事实通常会带来可预测的严重后果。这种潜在风险对永久美式香草期权的影响是显著的：决定公平价格的等式取决于要找到的解决方案。在金融学和物理学的光学下都发现了合理的结果。特别地，在这个问题的整体结果和相变之间建立了一个并行性。
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英文标题：
《Perpetual American vanilla option pricing under single regime change
risk. An exhaustive study》
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作者：
Miquel Montero
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最新提交年份：
2009
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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：Physics 物理学
二级分类：Physics and Society 物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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英文摘要：
Perpetual American options are financial instruments that can be readily exercised and do not mature. In this paper we study in detail the problem of pricing this kind of derivatives, for the most popular flavour, within a framework in which some of the properties |volatility and dividend policy| of the underlying stock can change at a random instant of time, but in such a way that we can forecast their final values. Under this assumption we can model actual market conditions because most relevant facts usually entail sharp predictable consequences. The effect of this potential risk on perpetual American vanilla options is remarkable: the very equation that will determine the fair price depends on the solution to be found. Sound results are found under the optics both of finance and physics. In particular, a parallelism among the overall outcome of this problem and a phase transition is established.
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PDF链接：
https://arxiv.org/pdf/0812.0556
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