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Statements

Subject Item
n2:RIV%2F67985840%3A_____%2F10%3A00359287%21RIV12-AV0-67985840
rdf:type
skos:Concept n17:Vysledek
dcterms:description
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.
dcterms:title
Valuation of American Call Option Considering Uncertain Volatility Valuation of American Call Option Considering Uncertain Volatility
skos:prefLabel
Valuation of American Call Option Considering Uncertain Volatility Valuation of American Call Option Considering Uncertain Volatility
skos:notation
RIV/67985840:_____/10:00359287!RIV12-AV0-67985840
n4:aktivita
n13:Z n13:P
n4:aktivity
P(IAA100190803), Z(AV0Z10190503)
n4:cisloPeriodika
2
n4:dodaniDat
n7:2012
n4:domaciTvurceVysledku
n6:4429400
n4:druhVysledku
n19:J
n4:duvernostUdaju
n12:S
n4:entitaPredkladatele
n14:predkladatel
n4:idSjednocenehoVysledku
295223
n4:idVysledku
RIV/67985840:_____/10:00359287
n4:jazykVysledku
n18:eng
n4:klicovaSlova
American options; parabolic variational inequality; uncertain parameter
n4:klicoveSlovo
n10:parabolic%20variational%20inequality n10:uncertain%20parameter n10:American%20options
n4:kodStatuVydavatele
CN - Čínská lidová republika
n4:kontrolniKodProRIV
[2D1E87DA80A4]
n4:nazevZdroje
Advances in Applied Mathematics and Mechanics
n4:obor
n16:BA
n4:pocetDomacichTvurcuVysledku
1
n4:pocetTvurcuVysledku
1
n4:projekt
n11:IAA100190803
n4:rokUplatneniVysledku
n7:2010
n4:svazekPeriodika
2
n4:tvurceVysledku
Hlaváček, Ivan
n4:wos
000286402200005
n4:zamer
n15:AV0Z10190503
s:issn
2070-0733
s:numberOfPages
11
n9:doi
10.4208/aamm.09-m0967