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A Barrier Option of American.
- Source :
- Applied Mathematics & Optimization; 2001, Vol. 43 Issue 1, p47, 16p
- Publication Year :
- 2001
-
Abstract
- In this paper we study the asset pricing problem when the volatility is random. First, we derive a PDE for the risk-minimizing price of any contingent claim. Secondly, we assume that the volatility process at is observed through an observation process Y[sub t] subject to random error. A price formula and a PDE are then derived regarding the stock price S[sub t] and the observation process Y[sub t] as parameters. Finally, we assume that S[sub t] is observed. In this case we have a complete market and any contingent claim is then priced by an arbitrage argument instead of by risk-minimizing. [ABSTRACT FROM AUTHOR]
- Subjects :
- MATHEMATICAL optimization
MATHEMATICAL analysis
PRICING
Subjects
Details
- Language :
- English
- ISSN :
- 00954616
- Volume :
- 43
- Issue :
- 1
- Database :
- Complementary Index
- Journal :
- Applied Mathematics & Optimization
- Publication Type :
- Academic Journal
- Accession number :
- 5359920