AMERICAN OPTIONS AND INCOMPLETE INFORMATION

被引：9
|
作者：
Ekstrom, Erik [1 ]
机构：
[1] Uppsala Univ, Dept Math, Box 480, S-75106 Uppsala, Sweden
来源：
INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE | 2019年 / 22卷 / 06期
关键词：
American options; incomplete information; optimal stopping; filtering theory;
D O I：
10.1142/S0219024919500353
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We study the optimal exercise of American options under incomplete information about the drift of the underlying process, and we show that quite unexpected phenomena may occur. In fact, certain parameter values give rise to stopping regions very different from the standard case of complete information. For example, we show that for the American put (call) option it is sometimes optimal to exercise the option when the underlying process reaches an upper (lower) boundary.
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页数：14
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