Recovering a time-homogeneous stock price process from perpetual option prices (Q549870): Difference between revisions

In the present paper, the inverse problem of recovering the model, i.e. the underlying stock price process, by using the perpetual American option prices for all different values of the strike price is studied, and a time homogeneous Markov process is obtained as the recovered stock price process.

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reviewed by

Gong Guanglu

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zbMATH Keywords

American options

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generalized diffusions

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exact calibration of volatility

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inverse problems

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MaRDI profile type

MaRDI publication profile

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cites work

Exact volatility calibration based on a Dupire-type call-put duality for perpetual American options

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Sticky Brownian motion as the strong limit of a sequence of random walks

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Q3150773

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Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation

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Robust hedging of the lookback option

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Q5332526

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Q3667724

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Q3959913

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Making Markov martingales meet marginals: With explicit constructions

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Processes that can be embedded in Brownian motion

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Q4226355

0 references

Q4508926

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Arbitrage-free market models for option prices: the multi-strike case

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Q4349221

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Identifiers

zbMATH Open document ID

1228.91068

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DOI

10.1214/10-AAP720

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:549870

@@ Property / author @@
-David G. Hobson
@@ Property / author: David G. Hobson / rank @@
-Normal rank
@@ Property / author @@
+David G. Hobson
@@ Property / author: David G. Hobson / rank @@
+Normal rank
@@ Property / review text @@
+In the present paper, the inverse problem of recovering the model, i.e. the underlying stock price process, by using the perpetual American option prices for all different values of the strike price is studied, and a time homogeneous Markov process is obtained as the recovered stock price process.
+Normal rank
@@ Property / reviewed by @@
+Gong Guanglu
@@ Property / reviewed by: Gong Guanglu / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G20
@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+J60
@@ Property / Mathematics Subject Classification ID: 60J60 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G40
@@ Property / Mathematics Subject Classification ID: 60G40 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+5925663
@@ Property / zbMATH DE Number: 5925663 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+American options
@@ Property / zbMATH Keywords: American options / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+generalized diffusions
@@ Property / zbMATH Keywords: generalized diffusions / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+exact calibration of volatility
@@ Property / zbMATH Keywords: exact calibration of volatility / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+inverse problems
@@ Property / zbMATH Keywords: inverse problems / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.4833
@@ Property / arXiv ID: 0903.4833 / rank @@
+Normal rank
@@ Property / cites work @@
+Exact volatility calibration based on a Dupire-type call-put duality for perpetual American options
+Normal rank
@@ Property / cites work @@
+Sticky Brownian motion as the strong limit of a sequence of random walks
+Normal rank
@@ Property / cites work @@
+Q3150773
@@ Property / cites work: Q3150773 / rank @@
+Normal rank
@@ Property / cites work @@
+Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
+Normal rank
@@ Property / cites work @@
+Robust hedging of the lookback option
@@ Property / cites work: Robust hedging of the lookback option / rank @@
+Normal rank
@@ Property / cites work @@
+Q5332526
@@ Property / cites work: Q5332526 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3667724
@@ Property / cites work: Q3667724 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3959913
@@ Property / cites work: Q3959913 / rank @@
+Normal rank
@@ Property / cites work @@
+Making Markov martingales meet marginals: With explicit constructions
+Normal rank
@@ Property / cites work @@
+Processes that can be embedded in Brownian motion
@@ Property / cites work: Processes that can be embedded in Brownian motion / rank @@
+Normal rank
@@ Property / cites work @@
+Q4226355
@@ Property / cites work: Q4226355 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4508926
@@ Property / cites work: Q4508926 / rank @@
+Normal rank
@@ Property / cites work @@
+Arbitrage-free market models for option prices: the multi-strike case
+Normal rank
@@ Property / cites work @@
+Q4349221
@@ Property / cites work: Q4349221 / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W3100239091
@@ Property / OpenAlex ID: W3100239091 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:549870