Option pricing in a world with arbitrage

被引：0

作者：

Guo, X ^{[1
]}

Shepp, L ^{[1
]}

机构：

[1] IBM Corp, Thomas J Watson Res Ctr, Yorktown Hts, NY 10598 USA

来源：

STOCHASTIC OPTIMIZATION: ALGORITHMS AND APPLICATIONS | 2001年 / 54卷

关键词：

information; option pricing; arbitrage; Black-Scholes;

D O I：

暂无

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

We discuss option pricing problems under a new model of stock fluctuations. This model captures the information distribution among investors by adjoining a hidden Markov process to the Black-Scholes exponential Brownian motion model. We provide new valuations for various standard hedge options, such as European, perpetual American and look-back options.

引用

页码：87 / 96

页数：10

共 31 条

[1] Return volatility and trading volume: An information flow interpretation of stochastic volatility
Andersen, TG
[J]. JOURNAL OF FINANCE, 1996, 51 (01) : 169 - 204
[2] [Anonymous], 1969, Probability and Mathematical Statistics
[3] [Anonymous], 1993, ANN APPL PROBAB
[4] Avellaneda M., 1995, Applied Mathematical Finance, V2, P73, DOI DOI 10.1080/13504869500000005
[5] Bachelier L., 1900, ANN SCI ECOLE NORM S, V17, P21
[6] INSIDER TRADING IN CONTINUOUS-TIME
BACK, K
[J]. REVIEW OF FINANCIAL STUDIES, 1992, 5 (03) : 387 - 409
[7] BALL CA, 1993, FINANCIAL MARKETS I, V2, P55
[8] PRICING OF OPTIONS AND CORPORATE LIABILITIES
BLACK, F
SCHOLES, M
[J]. JOURNAL OF POLITICAL ECONOMY, 1973, 81 (03) : 637 - 654
[9] Chernoff H, 1961, PROC 4 BERKELEY SYMP, V1, P79
[10] OPTION PRICING - SIMPLIFIED APPROACH
COX, JC
ROSS, SA
RUBINSTEIN, M
[J]. JOURNAL OF FINANCIAL ECONOMICS, 1979, 7 (03) : 229 - 263

← 1 2 3 4 →