Pricing American options with uncertain volatility through stochastic linear complementarity models

DOI10.1007/s10589-010-9344-4zbMath1236.91133OpenAlexW2098930751MaRDI QIDQ763392

Masao Fukushima, Kenji Hamatani

Publication date: 9 March 2012

Published in: Computational Optimization and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10589-010-9344-4

zbMATH Keywords

option pricingAmerican optionstochastic linear complementarity problemuncertain volatility

Mathematics Subject Classification ID

Stochastic programming (90C15) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

The deterministic ERM and CVaR reformulation for the stochastic generalized complementarity problem ⋮ Haar‐wavelet based approximation for pricing American options under linear complementarity formulations ⋮ CVaR-constrained stochastic programming reformulation for stochastic nonlinear complementarity problems ⋮ A kind of stochastic eigenvalue complementarity problems ⋮ Infeasible interior-point algorithms based on sampling average approximations for a class of stochastic complementarity problems and their applications ⋮ A note on stability for risk-averse stochastic complementarity problems ⋮ Smoothing methods for nonsmooth, nonconvex minimization ⋮ Pricing American options with uncertain volatility through stochastic linear complementarity models

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