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Valuation of American Call Option Considering Uncertain Volatility

SYSNO ASEP	0359287
Document Type	J - Journal Article
R&D Document Type	Journal Article
Subsidiary J	Článek ve WOS
Title	Valuation of American Call Option Considering Uncertain Volatility
Author(s)	Hlaváček, Ivan (MU-W)_{RID, SAI}
Source Title	Advances in Applied Mathematics and Mechanics - ISSN 2070-0733 Roč. 2, č. 2 (2010), s. 211-221
Number of pages	11 s.
Language	eng - English
Country	CN - China
Keywords	American options ; parabolic variational inequality ; uncertain parameter
Subject RIV	BA - General Mathematics
R&D Projects	IAA100190803 GA AV ČR - Academy of Sciences of the Czech Republic (AV ČR)
CEZ	AV0Z10190503 - MU-W (2005-2011)
UT WOS	000286402200005
EID SCOPUS	84867583469
DOI	10.4208/aamm.09-m0967
Annotation	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.
Workplace	Mathematical Institute
Contact	Jarmila Štruncová, struncova@math.cas.cz, library@math.cas.cz, Tel.: 222 090 757
Year of Publishing	2012

Number of the records: 1