American options under uncertain volatility

DOI10.1080/13504860210136730MaRDI QIDQ4551204zbMATH OpenOpenAlexFDO

Authors Adam T. Smith

Publication date 5 September 2002

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/13504860210136730

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• On the American option-pricing model with an uncertain volatility
• Model uncertainty and the pricing of American options
• Valuation of American Call Option Considering Uncertain Volatility
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• WORST-CASE SCENARIOS FOR AMERICAN OPTIONS

Cites work

• Application of Coherent Risk Measures to Capital Requirements in Insurance

Cited in

(12)

• American options exercise boundary when the volatility changes randomly
• Uncertain volatility models -- theory and application
• Volatility can be detrimental to option values!
• The Valuation of Volatility Options
• On the American option-pricing model with an uncertain volatility
• SHOULD AN AMERICAN OPTION BE EXERCISED EARLIER OR LATER IF VOLATILITY IS NOT ASSUMED TO BE A CONSTANT?
• Valuing American contingent claims when time to maturity is uncertain
• WORST-CASE SCENARIOS FOR AMERICAN OPTIONS
• Valuation of American Call Option Considering Uncertain Volatility
• Model uncertainty and the pricing of American options
• Robust pricing of equity-indexed annuities under uncertain volatility and stochastic interest rate
• Optimal stopping under adverse nonlinear expectation and related games

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