Portfolios Of American Put Options Under General Preferences

The paper studies the optimal exercise of a portfolio of American put options in an incomplete market. Options are written on a single underlying asset but may have different characteristics of strikes, maturities, and vesting dates, the paper is to solve the problem faced by an employee who is granted options periodically on the stock of her company, and who is not permitted to trade this stock, we consider the optimal exercise of single option and portfolios of options with different characteristics, and at the same time we prove that options with comonotonic strike, maturity, and vesting date should be exercised in order of increasing maturities under weak agent on preferences.