On the American put option with ambiguity

摘要：

Owing to ambiguity in markets, this article introduces a generalized model to price the American put option with multiple priors in continuous time. Under some feasible conditions, the problem of American put option under ambiguity can be reduced to a pertinent free boundary problem in a Markovian setting. We can give a conservative evaluation for the American option under ambiguity, since the size of κ- ignorance can be estimated by the historical data. Our methods show an effective optimal timing strategy against the stock price behavior and ambiguity aversion.

关键词： American put option Backward stochastic differential equation (BSDE) κ-ignorance Ambiguity premium

作者: Guoqing Zhao

作者单位: School of Finance, Shandong Economic University, Jinan, 250014, China

会议类型: 国际会议

会议名称: 2011 Fourth International Conference on Business Intelligence and Financial Engineering(第四届商务智能与金融工程国际会议 BIFE2011)

会议地点: 武汉

会议语种:英文

页码: 444-446

在线出版日期: 2011-10-17（万方平台首次上网日期，不代表论文的发表时间）