标题:Optimal stopping with model uncertainty and pricing the American option
作者:Zhao, Guoqing
通讯作者:Zhao, G
作者机构:[Zhao, Guoqing ] School of Mathematics, Shandong University, Jinan, 250100, China
会议名称:2009 International Conference on Business Intelligence and Financial Engineering, BIFE 2009
会议日期:24 July 2009 through 26 July 2009
来源:2009 International Conference on Business Intelligence and Financial Engineering, BIFE 2009
出版年:2009
页码:329-332
DOI:10.1109/BIFE.2009.82
关键词:Ambiguity; American put-option; BSDE; g-expectation; Optimal stopping
摘要:In order to formulate the skewness, excess kurtosis of the stock price and model uncertainty, this paper concerns a g-martingale characterization of value process of American putoption in a jump-diffusion model; Furthermore, we give a new free boundary problem tool for pricing the American put-option. And we can compute the size of model uncertainty by the market data. Our methods lead to an effective investment strategy against the stock price behaviour and model uncertainty. © 2009 IEEE.
收录类别:EI;SCOPUS
资源类型:会议论文;期刊论文
原文链接:https://www.scopus.com/inward/record.uri?eid=2-s2.0-71049116052&doi=10.1109%2fBIFE.2009.82&partnerID=40&md5=f811006441bf0b14465edcbcf3f24f91
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