Recovering a time-homogeneous stock price process from perpetual option prices
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Publication:549870
DOI10.1214/10-AAP720zbMath1228.91068arXiv0903.4833OpenAlexW3100239091MaRDI QIDQ549870
Publication date: 19 July 2011
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0903.4833
Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (8)
Feynman–Kac theorems for generalized diffusions ⋮ Monotonicity of implied volatility for perpetual put options ⋮ Can time-homogeneous diffusions produce any distribution? ⋮ Perpetual American options in a diffusion model with piecewise-linear coefficients ⋮ Parameter Dependent Optimal Thresholds, Indifference Levels and Inverse Optimal Stopping Problems ⋮ Recovering a Piecewise Constant Volatility from Perpetual Put Option Prices ⋮ MODEL-INDEPENDENT NO-ARBITRAGE CONDITIONS ON AMERICAN PUT OPTIONS ⋮ Constructing time-homogeneous generalized diffusions consistent with optimal stopping values
Cites Work
- Making Markov martingales meet marginals: With explicit constructions
- Exact volatility calibration based on a Dupire-type call-put duality for perpetual American options
- Sticky Brownian motion as the strong limit of a sequence of random walks
- Processes that can be embedded in Brownian motion
- Robust hedging of the lookback option
- Arbitrage-free market models for option prices: the multi-strike case
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
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