Recovering a time-homogeneous stock price process from perpetual option prices (Q549870): Difference between revisions
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Revision as of 21:46, 22 February 2024
scientific article
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| English | Recovering a time-homogeneous stock price process from perpetual option prices |
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Recovering a time-homogeneous stock price process from perpetual option prices (English)
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19 July 2011
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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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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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