Recovering a time-homogeneous stock price process from perpetual option prices (Q549870): Difference between revisions
From MaRDI portal
Changed an Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 06:57, 30 January 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Recovering a time-homogeneous stock price process from perpetual option prices |
scientific article |
Statements
Recovering a time-homogeneous stock price process from perpetual option prices (English)
0 references
19 July 2011
0 references
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.
0 references
American options
0 references
generalized diffusions
0 references
exact calibration of volatility
0 references
inverse problems
0 references
