Pricing American options with uncertain volatility through stochastic linear complementarity models

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Publication:763392

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




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