报告题目：Analysis of the optimal exercise boundary of American put options with delivery lags
摘要：
报告人：杨舟 教授，华南师范大学
时间：2018年4月26日 下午3:00-4:00
地点：管研楼1518
We show that an American put option with delivery lags can be decomposed as a European option and another American-style derivative. The latter is an option for which the investor receives the Greek Theta of the corresponding European option as the running payoff, and decides an optimal stopping time to terminate the contract. Based on the this decomposition, we further show that the associated optimal exercise boundary is a strictly increasing and smooth curve, and analyze its asymptotic behavior for both large maturity and small time lag using the free-boundary method.
报告人介绍: 杨舟，华南师范大学数学科学学院教授。主要从事金融数学和随机控制方面的研究，主要研究方向为：美式衍生产品定价、最优投资组合、最优停时问题、金融中的自由边界问题。部分研究成果发表于MATH. OPER. RES.、SIAM J. CONTROL OPTIM.、SIAM J. MATH. ANAL.、J DIFFER. EQUATIONS等国际权威学术期刊。