英文标题：
《American options with gradual exercise under proportional transaction
  costs》
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作者：
Alet Roux and Tomasz Zastawniak
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最新提交年份：
2013
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英文摘要：
  American options in a multi-asset market model with proportional transaction costs are studied in the case when the holder of an option is able to exercise it gradually at a so-called mixed (randomised) stopping time. The introduction of gradual exercise leads to tighter bounds on the option price when compared to the case studied in the existing literature, where the standard assumption is that the option can only be exercised instantly at an ordinary stopping time. Algorithmic constructions for the bid and ask prices and the associated superhedging strategies and optimal mixed stoping times for an American option with gradual exercise are developed and implemented, and dual representations are established.
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中文摘要：
研究了具有比例交易成本的多资产市场模型中，当期权持有人能够在所谓的混合（随机）停止时间内逐步行使期权时的美式期权。与现有文献中研究的情况相比，逐步行权的引入导致期权价格的限制更为严格，其中的标准假设是期权只能在正常停止时间立即行权。开发并实现了一个美式期权的买入价和卖出价的算法构造，以及相关的超边策略和最佳混合回采时间，并建立了对偶表示。
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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：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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