Optimal Stopping with Model Uncertainty and Pricing the American Option

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 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.

关键词： American put-option optimal stopping ambigu-ity BSDE g-ezpectation

作者: Guoqing Zhao

作者单位: School of Mathematics, Shandong University, Jinan, 250100, China

会议类型: 国际会议

会议名称: The Second International Conference on Business Intelligence and Financial Engineering(BIFE 2009)(第二届商务智能与金融工程国际会议)

会议地点: 北京

会议语种:英文

页码: 329-332

在线出版日期: 2009-07-24（万方平台首次上网日期，不代表论文的发表时间）