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  • The parabolic variational inequality for simulating the valuation of American option is used to analyze a continuous dependence of the solution with respect to the uncertain volatility parameter. Three kinds of the continuity are proved, enabling us to employ the maximum range method for the uncertain parameter, under the condition that the criterion-functional has the corresponding property.
  • The parabolic variational inequality for simulating the valuation of American option is used to analyze a continuous dependence of the solution with respect to the uncertain volatility parameter. Three kinds of the continuity are proved, enabling us to employ the maximum range method for the uncertain parameter, under the condition that the criterion-functional has the corresponding property. (en)
Title
  • Valuation of American Call Option Considering Uncertain Volatility
  • Valuation of American Call Option Considering Uncertain Volatility (en)
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  • Valuation of American Call Option Considering Uncertain Volatility
  • Valuation of American Call Option Considering Uncertain Volatility (en)
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  • RIV/67985840:_____/10:00359287!RIV12-AV0-67985840
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  • RIV/67985840:_____/10:00359287
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  • American options; parabolic variational inequality; uncertain parameter (en)
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  • Advances in Applied Mathematics and Mechanics
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  • 2
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  • Hlaváček, Ivan
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  • 000286402200005
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issn
  • 2070-0733
number of pages
http://bibframe.org/vocab/doi
  • 10.4208/aamm.09-m0967
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