模糊性对积分期权合约最优执行时机的影响
The Impact of Ambiguity on the Optimal Exercise Timing of Integral Option Contracts
摘要：
研究了当期权的执行收益是正齐次可测函数时，模糊性对一类二维积分期权合约最优时机的影响。因此，所考虑的运动收益类也包括不连续函数。我们确定了一个参数化的家庭过多的功能，产生适当的类的上鞅所考虑的问题，然后表达的最佳政策的价值，以及在这些过程中的最坏情况下的措施。我们的方法的优点是，它减少了多维问题的分析，一个普通的一维静态优化问题的分析。这样，它简化了以前对这个问题的处理，而没有明显的歧义。我们还说明了我们的研究结果中明确参数化的例子。
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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