Perturbed Brownian motion and its application to Parisian option pricing.
Angelos DassiosShanle WuPublished in: Finance Stochastics (2010)
Keyphrases
- option pricing
- brownian motion
- stochastic process
- differential equations
- optimal control
- diffusion process
- stock price
- real option
- decision analysis
- stochastic processes
- vector valued
- poisson process
- heavy traffic
- queue length
- closed form solutions
- heavy tailed
- black scholes model
- asymptotically optimal
- inventory level
- computational complexity
- control strategy
- short term
- markov chain
- decision makers
- dynamic programming