Pricing European call options with interval-valued volatility and interest rate (Q6585537)
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scientific article; zbMATH DE number 7894925
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| English | Pricing European call options with interval-valued volatility and interest rate |
scientific article; zbMATH DE number 7894925 |
Statements
Pricing European call options with interval-valued volatility and interest rate (English)
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12 August 2024
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interval optimization
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partial-differential inequality constrained optimization
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European call option valuation under uncertainties
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variational inequality
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interior penalty method
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finite differences
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0.8067966103553772
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0.7965850830078125
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0.7928323149681091
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0.7908289432525635
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0.7900304794311523
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