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Recovering a time-homogeneous stock price process from perpetual option prices
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Ekström, Erik and Hobson, David (David G.). (2011) Recovering a time-homogeneous stock price process from perpetual option prices. The Annals of Applied Probability, Vol.21 (No.3). pp. 1102-1135. ISSN 1050-5164
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Official URL: http://dx.doi.org/10.1214/10-AAP720
Abstract
It is well known how to determine the price of perpetual American options if the underlying stock price is a time-homogeneous diffusion. In the present paper we consider the inverse problem, that is, given prices of perpetual American options for different strikes, we show how to construct a time-homogeneous stock price model which reproduces the given option prices
| Item Type: | Journal Article |
|---|---|
| Divisions: | Faculty of Science > Mathematics |
| Journal or Publication Title: | The Annals of Applied Probability |
| Publisher: | Institute of Mathematical Statistics |
| ISSN: | 1050-5164 |
| Date: | 2011 |
| Volume: | Vol.21 |
| Number: | No.3 |
| Page Range: | pp. 1102-1135 |
| Identification Number: | 10.1214/10-AAP720 |
| Status: | Peer Reviewed |
| Publication Status: | Published |
| URI: | http://wrap.warwick.ac.uk/id/eprint/40002 |
Data sourced from Thomson Reuters' Web of Knowledge
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