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Valuation of American Call Option Considering Uncertain Volatility
- 1.0359287 - MÚ 2012 RIV CN eng J - Journal Article
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
R&D Projects: GA AV ČR(CZ) IAA100190803
Institutional research plan: CEZ:AV0Z10190503
Keywords : American options * parabolic variational inequality * uncertain parameter
Subject RIV: BA - General Mathematics
Impact factor: 0.510, year: 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.
Permanent Link: http://hdl.handle.net/11104/0197098
Number of the records: 1