American options under uncertain volatility

DOI10.1080/13504860210136730zbMath1067.91032OpenAlexW2048782198MaRDI QIDQ4551204

Adam T. Smith

Publication date: 5 September 2002

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860210136730

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Optimal stopping under adverse nonlinear expectation and related games

Cites Work

• Application of Coherent Risk Measures to Capital Requirements in Insurance

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