Valuation of American Call Option Considering Uncertain Volatility

DOI10.4208/AAMM.09-M0967zbMath1262.91127OpenAlexW3124669831MaRDI QIDQ4919262

Ivan Hlaváček

Publication date: 8 May 2013

Published in: Advances in Applied Mathematics and Mechanics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4208/aamm.09-m0967

zbMATH Keywords

American optionsparabolic variational inequalityuncertain parameter

Mathematics Subject Classification ID

Variational inequalities (49J40) Portfolio theory (91G10) Problems with incomplete information (optimization) (49N30)

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