DocumentCode :
3038607
Title :
Optimal Stopping with Model Uncertainty and Pricing the American Option
Author :
Zhao, Guoqing
Author_Institution :
Sch. of Math., Shandong Univ., Jinan, China
fYear :
2009
fDate :
24-26 July 2009
Firstpage :
329
Lastpage :
332
Abstract :
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 put-option 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.
Keywords :
pricing; share prices; American option pricing; boundary problem tool; g-martingale characterization; jump-diffusion model; model uncertainty; optimal stopping; stock price behaviour; Cost function; Filtration; Investments; Mathematical model; Mathematics; Motion measurement; Pricing; Statistics; Stochastic processes; Uncertainty; American put-option; BSDE; ambiguity; g-expectation; optimal stopping;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Business Intelligence and Financial Engineering, 2009. BIFE '09. International Conference on
Conference_Location :
Beijing
Print_ISBN :
978-0-7695-3705-4
Type :
conf
DOI :
10.1109/BIFE.2009.82
Filename :
5208875
Link To Document :
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