Počet záznamů: 1
Valuation of American Call Option Considering Uncertain Volatility
- 1.0359287 - MÚ 2012 RIV CN eng J - Článek v odborném periodiku
Hlaváček, Ivan
Valuation of American Call Option Considering Uncertain Volatility.
Advances in Applied Mathematics and Mechanics. Roč. 2, č. 2 (2010), s. 211-221. ISSN 2070-0733. E-ISSN 2075-1354
Grant CEP: GA AV ČR(CZ) IAA100190803
Výzkumný záměr: CEZ:AV0Z10190503
Klíčová slova: American options * parabolic variational inequality * uncertain parameter
Kód oboru RIV: BA - Obecná matematika
Impakt faktor: 0.510, rok: 2010
http://www.global-sci.org/aamm/readabs.php?vol=2&no=2&doc=211&year=2010&ppage=221
The parabolic variational inequality for simulating the valuation of American option is used to analyze a continuous dependence of the solution with respect to the uncertain volatility parameter. Three kinds of the continuity are proved, enabling us to employ the maximum range method for the uncertain parameter, under the condition that the criterion-functional has the corresponding property.
Trvalý link: http://hdl.handle.net/11104/0197098
Počet záznamů: 1