PORTFOLIOS OF AMERICAN OPTIONS UNDER GENERAL PREFERENCES: RESULTS AND COUNTEREXAMPLES
研究了不完全市场中美式看涨期权组合的最优执行问题，证明在弱偏好假设下，具有共同单调特征（执行价、到期日、归属日）的期权应按执行价递增顺序执行，并给出反例说明假设不成立时的情形。
We consider the optimal exercise of a portfolio of American call options in an incomplete market. Options are written on a single underlying asset but may have different characteristics of strikes, maturities, and vesting dates. Our motivation is to model the decision faced by an employee who is granted options periodically on the stock of her company, and who is not permitted to trade this stock. The first part of our study considers the optimal exercise of single options. We prove results under minimal assumptions and give several counterexamples where these assumptions fail—describing the shape and nesting properties of the exercise regions. The second part of the study considers portfolios of options with differing characteristics. The main result is that options with comonotonic strike, maturity, and vesting date should be exercised in order of increasing strike. It is true under weak assumptions on preferences and requires no assumptions on prices. Potentially the exercise ordering result can significantly reduce the complexity of computations in a particular example. This is illustrated by solving the resulting dynamic programming problem in a constant absolute risk aversion utility indifference model.