标题：Optimal stopping with model uncertainty and pricing the American option
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
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.