Pricing American options with uncertain volatility through stochastic linear complementarity models (Q763392)
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scientific article; zbMATH DE number 6013618
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| English | Pricing American options with uncertain volatility through stochastic linear complementarity models |
scientific article; zbMATH DE number 6013618 |
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Pricing American options with uncertain volatility through stochastic linear complementarity models (English)
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9 March 2012
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option pricing
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American option
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uncertain volatility
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stochastic linear complementarity problem
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0.8077504634857178
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0.8007066249847412
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0.7979187965393066
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