Pricing European call options with interval-valued volatility and interest rate

DOI10.1016/j.amc.2024.128698zbMath1545.91331MaRDI QIDQ6585537

Publication date: 12 August 2024

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

variational inequality finite differences interval optimization interior penalty method European call option valuation under uncertainties partial-differential inequality constrained optimization

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Fuzzy and other nonstochastic uncertainty mathematical programming (90C70) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for variational inequalities and related problems (65K15)

Cites Work

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Pricing and hedging derivative securities in markets with uncertain volatilities
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