英文标题：
《The Impact of Ambiguity on the Optimal Exercise Timing of Integral
  Option Contracts》
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作者：
Luis H. R. Alvarez E. and S\\\"oren Christensen
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最新提交年份：
2019
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英文摘要：
  We consider the impact of ambiguity on the optimal timing of a class of two-dimensional integral option contracts when the exercise payoff is a positively homogeneous measurable function. Hence, the considered class of exercise payoffs includes discontinuous functions as well. We identify a parameterized family of excessive functions generating an appropriate class of supermartingales for the considered problems and then express the value of the optimal policy as well as the worst case measure in terms of these processes. The advantage of our approach is that it reduces the analysis of the multidimensional problem to the analysis of an ordinary one-dimensional static optimization problem. In that way it simplifies earlier treatments of the problem without ambiguity considerably. We also illustrate our findings in explicitly parameterized examples.
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中文摘要：
当行权收益为正齐次可测函数时，我们考虑了模糊性对一类二维积分期权合约最优时机的影响。因此，所考虑的行权收益类别也包括不连续函数。我们确定了一个参数化的过度函数族，为所考虑的问题生成了一类适当的超鞅，然后根据这些过程表达了最优策略的值以及最坏情况度量。我们的方法的优点是，它将多维问题的分析简化为普通一维静态优化问题的分析。通过这种方式，它简化了对问题的早期处理，并且没有明显的模糊性。我们还通过显式参数化的示例来说明我们的发现。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Mathematical Finance        数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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