RECOVERING A TIME-HOMOGENEOUS STOCK PRICE PROCESS FROM PERPETUAL OPTION PRICES
成果类型：
Article
署名作者：
Ekstrom, Erik; Hobson, David
署名单位：
Uppsala University; University of Warwick
刊物名称：
ANNALS OF APPLIED PROBABILITY
ISSN/ISSBN：
1050-5164
DOI：
10.1214/10-AAP720
发表日期：
2011
页码：
1102-1135
关键词：
摘要：
It is well known how to determine the price of perpetual American options if the underlying stock price is a time-homogeneous diffusion. In the present paper we consider the inverse problem, that is, given prices of perpetual American options for different strikes, we show how to construct a time-homogeneous stock price model which reproduces the given option prices.