On the American Put Option with Ambiguity

  • Guoqing Zhao
  • Published 2011 in
    2011 Fourth International Conference on Business…


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… (More)


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