Recovering a time-homogeneous stock price process from perpetual option prices

Annals of Applied Probability

Volumn 21, Issue 3, 2011, Pages 1102-1135

  Ekström, Erik ^a   Hobson, David ^b  

^a UPPSALA UNIVERSITY   (Sweden)

^b UNIVERSITY OF WARWICK   (United Kingdom)

Author keywords

American options; Exact calibration of volatility; Generalized diffusions; Inverse problems

Indexed keywords

EID: 79958196167     PISSN: 10505164     EISSN: 10505164     Source Type: Journal    
DOI: 10.1214/10-AAP720     Document Type: Article

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