On the American Put Option with Ambiguity

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

Abstract

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)

Topics

  • Presentations referencing similar topics