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Volume 2, Issue 2
Valuation of American Call Option Considering Uncertain Volatility

I. Hlaváček

DOI: 10.4208/aamm.09-m0967

Adv. Appl. Math. Mech., 2 (2010), pp. 211-221.

Published online: 2010-02

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  • Abstract

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.

  • Keywords

American options, parabolic variational inequality, uncertain parameter.

  • AMS Subject Headings

91B28, 49J40, 49N30.

  • Copyright

COPYRIGHT: © Global Science Press

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@Article{AAMM-2-211, author = {Hlaváček , I.}, title = {Valuation of American Call Option Considering Uncertain Volatility}, journal = {Advances in Applied Mathematics and Mechanics}, year = {2010}, volume = {2}, number = {2}, pages = {211--221}, abstract = {

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.

}, issn = {2075-1354}, doi = {https://doi.org/10.4208/aamm.09-m0967}, url = {http://global-sci.org/intro/article_detail/aamm/8328.html} }
TY - JOUR T1 - Valuation of American Call Option Considering Uncertain Volatility AU - Hlaváček , I. JO - Advances in Applied Mathematics and Mechanics VL - 2 SP - 211 EP - 221 PY - 2010 DA - 2010/02 SN - 2 DO - http://doi.org/10.4208/aamm.09-m0967 UR - https://global-sci.org/intro/article_detail/aamm/8328.html KW - American options, parabolic variational inequality, uncertain parameter. AB -

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.

Hlaváček , I.. (2010). Valuation of American Call Option Considering Uncertain Volatility. Advances in Applied Mathematics and Mechanics. 2 (2). 211-221. doi:10.4208/aamm.09-m0967
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