{"title":"美国扼杀期权","authors":"Shi Qiu","doi":"10.1080/1350486X.2020.1825968","DOIUrl":null,"url":null,"abstract":"ABSTRACT In this paper, we show that the double optimal stopping boundaries for American strangle options with finite horizon can be characterized as the unique pair of solution to a system of two nonlinear integral equations arising from the early exercise premium (EEP) representation. The proof of EEP representation is based on the change-of-variable formula with local time on curves. After comparing the return of the alternative portfolio including an American call and an American put option, we find that it is more preferable for an investor to select American strangle options to hedge an underlying asset with high volatility.","PeriodicalId":35818,"journal":{"name":"Applied Mathematical Finance","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2020-05-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"6","resultStr":"{\"title\":\"American Strangle Options\",\"authors\":\"Shi Qiu\",\"doi\":\"10.1080/1350486X.2020.1825968\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"ABSTRACT In this paper, we show that the double optimal stopping boundaries for American strangle options with finite horizon can be characterized as the unique pair of solution to a system of two nonlinear integral equations arising from the early exercise premium (EEP) representation. The proof of EEP representation is based on the change-of-variable formula with local time on curves. After comparing the return of the alternative portfolio including an American call and an American put option, we find that it is more preferable for an investor to select American strangle options to hedge an underlying asset with high volatility.\",\"PeriodicalId\":35818,\"journal\":{\"name\":\"Applied Mathematical Finance\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2020-05-03\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"6\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Applied Mathematical Finance\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1080/1350486X.2020.1825968\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"Mathematics\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Applied Mathematical Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1080/1350486X.2020.1825968","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"Mathematics","Score":null,"Total":0}
ABSTRACT In this paper, we show that the double optimal stopping boundaries for American strangle options with finite horizon can be characterized as the unique pair of solution to a system of two nonlinear integral equations arising from the early exercise premium (EEP) representation. The proof of EEP representation is based on the change-of-variable formula with local time on curves. After comparing the return of the alternative portfolio including an American call and an American put option, we find that it is more preferable for an investor to select American strangle options to hedge an underlying asset with high volatility.
期刊介绍：
The journal encourages the confident use of applied mathematics and mathematical modelling in finance. The journal publishes papers on the following: •modelling of financial and economic primitives (interest rates, asset prices etc); •modelling market behaviour; •modelling market imperfections; •pricing of financial derivative securities; •hedging strategies; •numerical methods; •financial engineering.
京公网安备 11010802042870号
京ICP备2023020795号-1
分享
求助内容：
应助结果提醒方式：
扫码关注我们
