WORST-CASE SCENARIOS FOR AMERICAN OPTIONS

DOI10.1142/S0219024900000036zbMath1154.91432OpenAlexW2009416469MaRDI QIDQ3523541

Robert Buff

Publication date: 3 September 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024900000036

Mathematics Subject Classification ID

Cites Work

• On the pricing of American options
• Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model
• Combinatorial implications of nonlinear uncertain volatility models: the case of barrier options

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