演講訊息 TALKS

Abstract: We consider the perpetual American strangles in the geometric jump-diffusion models. We assume further that the jump distribution is a mixture of exponential distributions. To solve the corresponding optimal stopping problem for this option, by using the ODE approach, we derive a system of equations that is equivalent to the associated free boundary problem with smooth pasting condition. We verify the existence of the solutions to these equations. Then, in terms of the solutions together with a verification theorem, we solve the optimal stopping problem and hence find the optimal exercise boundaries and the rational prices for the perpetual American strangles. In addition we work out an algorithm for computing the optimal exercise boundaries and the rational prices of these American contracts.