In this article it is shown that one is able to evaluate the price of
perpetual calls, puts, Russian and integral options directly as the Laplace
transform of a stopping time of an appropriate diffusion using standard
fluctuation theory. This approach is offered in contrast to the approach of
optimal stopping through free boundary problems. Following ideas of Carr
[Rev. Fin. Studies
11 (1998) 597--626],
we discuss the Canadization of these options as a method of approximation
to their finite time counterparts. Fluctuation theory is again used in this
case.
Publié le : 2003-08-14
Classification:
Option pricing,
perpetual option,
call option,
put option,
Russian option,
integral option,
stopping time,
Laplace transform,
Brownian motion,
Bessel process,
60G40,
60G99,
60J65
@article{1060202835,
author = {Kyprianou, A. E. and Pistorius, M. R.},
title = {Perpetual options and Canadization through fluctuation theory},
journal = {Ann. Appl. Probab.},
volume = {13},
number = {1},
year = {2003},
pages = { 1077-1098},
language = {en},
url = {http://dml.mathdoc.fr/item/1060202835}
}
Kyprianou, A. E.; Pistorius, M. R. Perpetual options and Canadization through fluctuation theory. Ann. Appl. Probab., Tome 13 (2003) no. 1, pp. 1077-1098. http://gdmltest.u-ga.fr/item/1060202835/