英文标题：
《The value of foresight》
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作者：
Philip Ernst, L.C.G. Rogers, and Quan Zhou
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最新提交年份：
2016
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英文摘要：
  Suppose you have one unit of stock, currently worth 1, which you must sell before time $T$. The Optional Sampling Theorem tells us that whatever stopping time we choose to sell, the expected discounted value we get when we sell will be 1. Suppose however that we are able to see $a$ units of time into the future, and base our stopping rule on that; we should be able to do better than expected value 1. But how much better can we do? And how would we exploit the additional information? The optimal solution to this problem will never be found, but in this paper we establish remarkably close bounds on the value of the problem, and we derive a fairly simple exercise rule that manages to extract most of the value of foresight.
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中文摘要：
假设你有一个单位的股票，目前价值1美元，你必须在时间$T$之前卖出。可选抽样定理告诉我们，无论我们选择何时停止销售，我们在销售时得到的预期贴现值将为1。然而，假设我们能够看到未来的$a$时间单位，并以此为基础制定停止规则；我们应该能够做得比预期值更好。但我们能做得更好吗？我们如何利用这些额外的信息呢？这个问题的最优解永远不会被找到，但在本文中，我们对问题的价值建立了非常接近的界限，并且我们推导出了一个相当简单的练习规则，该规则成功地提取了预见的大部分价值。
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分类信息：

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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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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