摘要翻译：
用变分分析的方法，提出并解决了静态存储优化的数学问题。以隐式形式得到的解揭示了最优运动策略的最重要特征。我们展示了解决方案如何依赖于不同的约束类型，包括进位成本和循环约束。我们研究了本征解与随机解之间的关系。特别地，我们给出了随机问题具有“bang-bang”最优练习策略的另一个证明。我们还证明了为什么最优随机运动决策总是接近内在的。在后半部分，我们发展了一个摄动分析来解决随机优化问题。得到的近似解允许我们估计存储选项的时间价值。特别地，对于均值回复参数接近零或无穷大时的渐近时间值这一相当学术的问题，我们找到了一个答案。我们还研究了swing和存储问题之间的差异。分析结果与数值计算结果吻合较好。
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英文标题：
《Storage option an Analytic approach》
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作者：
Dmitry Lesnik
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最新提交年份：
2012
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分类信息：

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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一级分类：Physics        物理学
二级分类：Chaotic Dynamics        混沌动力学
分类描述：Dynamical systems, chaos, quantum chaos, topological dynamics, cycle expansions, turbulence, propagation
动力系统，混沌，量子混沌，拓扑动力学，循环展开，湍流，传播
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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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英文摘要：
  The mathematical problem of the static storage optimisation is formulated and solved by means of a variational analysis. The solution obtained in implicit form is shedding light on the most important features of the optimal exercise strategy. We show how the solution depends on different constraint types including carry cost and cycling constraint. We investigate the relation between intrinsic and stochastic solutions. In particular we give another proof that the stochastic problem has a "bang-bang" optimal exercise strategy. We also show why the optimal stochastic exercise decision is always close to the intrinsic one. In the second half we develop a perturbation analysis to solve the stochastic optimisation problem. The obtained approximate solution allows us to estimate the time value of the storage option. In particular we find an answer to rather academic question of asymptotic time value for the mean reversion parameter approaching zero or infinity. We also investigate the differences between swing and storage problems. The analytical results are compared with numerical valuations and found to be in a good agreement.
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PDF链接：
https://arxiv.org/pdf/1011.1234