Počet záznamů: 1

Valuation of American Call Option Considering Uncertain Volatility

  1. 1.
    0359287 - MU-W 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
    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