Recovering a time-homogeneous stock price process from perpetual option prices (Q549870): Difference between revisions
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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. | |||
| 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. / rank | |||
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| Property / reviewed by | |||
| Property / reviewed by: Gong Guanglu / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91G20 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60J60 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60G40 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 5925663 / rank | |||
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| Property / zbMATH Keywords | |||
American options | |||
| Property / zbMATH Keywords: American options / rank | |||
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| Property / zbMATH Keywords | |||
generalized diffusions | |||
| Property / zbMATH Keywords: generalized diffusions / rank | |||
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| Property / zbMATH Keywords | |||
exact calibration of volatility | |||
| Property / zbMATH Keywords: exact calibration of volatility / rank | |||
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| Property / zbMATH Keywords | |||
inverse problems | |||
| Property / zbMATH Keywords: inverse problems / rank | |||
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Revision as of 12:21, 1 July 2023
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)
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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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