On the American option-pricing model with an uncertain volatility

DOI10.1002/MMA.3509zbMath1339.35327OpenAlexW2157026080MaRDI QIDQ2802662

Hong-Ming Yin, Wen Wang

Publication date: 26 April 2016

Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/mma.3509

zbMATH Keywords

uncertain volatilitycomparison propertyAmerican option model

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Free boundary problems for PDEs (35R35) PDEs on infinite-dimensional (e.g., function) spaces (= PDEs in infinitely many variables) (35R15) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• On the theory of option pricing
• On optimal stopping and free boundary problems
• Uncertain volatility models -- theory and application
• Properties of American option prices
• Free boundary and American options in a jump-diffusion model
• A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options
• THE BLACK SCHOLES BARENBLATT EQUATION FOR OPTIONS WITH UNCERTAIN VOLATILITY AND ITS APPLICATION TO STATIC HEDGING

This page was built for publication: On the American option-pricing model with an uncertain volatility