Valuation of American Call Option Considering Uncertain Volatility

被引：0
|
作者：
Hlavacek, I. [1 ]
机构：
[1] Acad Sci Czech Republic, Inst Math, CZ-11567 Prague 1, Czech Republic
来源：
ADVANCES IN APPLIED MATHEMATICS AND MECHANICS | 2010年 / 2卷 / 02期
关键词：
American options; parabolic variational inequality; uncertain parameter;
D O I：
10.4208/aamm.09-m0967
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
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.
引用
收藏
页码：211 / 221
页数：11
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