Options Pricing in Incomplete Markets: An Asymptotic Approach

机译：不完全市场中的期权定价：渐近方法

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It is explored how incomplete markets can be studied with the help ofasymptotics. A compound Poisson model for the stock price is assumed and an expansion for the price of a European option is obtained as the stock price process converges to a geometric Brownian motion. This formulation also permits one to confront statistical uncertainty in the volatility of the stock price, and we show how this uncertainty impacts on the value of the option.

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作者
Mykland, P. A.;
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年度 1996
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总页数 27
原文格式 PDF
正文语种 eng
中图分类工业技术;
关键词
Economic analysis; Poisson density functions; Mathematical models; Uncertainty; Statistics; Costs; Commodities; Brownian motion; Price index;

机译：经济分析;泊松密度函数;数学模型;不确定性;统计;成本;商品;布朗运动;价格指数;

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Options Pricing in Incomplete Markets: An Asymptotic Approach

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