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摘要翻译：
当标的股票价格为时间同质扩散时，如何确定永久美式期权的价格是众所周知的。在本文中，我们考虑反问题，即给定不同罢工的永久美式期权的价格，我们证明了如何构造一个时间齐次的股票价格模型来再现给定的期权价格。
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英文标题：
《Recovering a time-homogeneous stock price process from perpetual option
prices》
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作者：
Erik Ekstr\"om, David Hobson
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最新提交年份：
2012
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分类信息：
一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
It is well known how to determine the price of perpetual American options if the underlying stock price is a time-homogeneous diffusion. In the present paper we consider the inverse problem, that is, given prices of perpetual American options for different strikes, we show how to construct a time-homogeneous stock price model which reproduces the given option prices.
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PDF链接：
https://arxiv.org/pdf/0903.4833
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