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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. doi:10.1214/10-AAP720 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 | ||||
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Divisions: | Faculty of Science, Engineering and Medicine > Science > Mathematics | ||||
Journal or Publication Title: | The Annals of Applied Probability | ||||
Publisher: | Institute of Mathematical Statistics | ||||
ISSN: | 1050-5164 | ||||
Official Date: | 2011 | ||||
Dates: |
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Volume: | Vol.21 | ||||
Number: | No.3 | ||||
Page Range: | pp. 1102-1135 | ||||
DOI: | 10.1214/10-AAP720 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Date of first compliant deposit: | 18 December 2015 | ||||
Date of first compliant Open Access: | 18 December 2015 |
Data sourced from Thomson Reuters' Web of Knowledge
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