Optimal Harvesting When the Exchange Rate Is a Semimartingale

[摘要] We consider harvesting in the Black-Scholes Quanto Market when the exchange rate is being modeled by the processEt=E0exp {Xt}, whereXtis a semimartingale, and we ask the following question: What harvesting strategyγ*and the value functionΦmaximize the expected total income of an investment? We formulate a singular stochastic control problem and give sufficient conditions for the existence of an optimal strategy. We found that, if the value function is not too sensitive to changes in the prices of the investments, the problem reduces to that of Lungu and Øksendal. However, the general solution of this problem still remains elusive.

[学科分类] 应用数学