On the American option-pricing model with an uncertain volatility

DOI10.1002/MMA.3509zbMATH Open1339.35327OpenAlexW2157026080MaRDI QIDQ2802662FDOQ2802662

Authors: Hong-Ming Yin, Wen Wang 

Publication date: 26 April 2016

Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/mma.3509

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zbMATH Keywords

uncertain volatilitycomparison propertyAmerican option model

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Free boundary problems for PDEs (35R35) Microeconomic theory (price theory and economic markets) (91B24) PDEs on infinite-dimensional (e.g., function) spaces (= PDEs in infinitely many variables) (35R15)

Cites Work

• The pricing of options and corporate liabilities
• Title not available (Why is that?)
• On the theory of option pricing
• Properties of American option prices
• A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options
• Uncertain volatility models -- theory and application
• On optimal stopping and free boundary problems
• THE BLACK SCHOLES BARENBLATT EQUATION FOR OPTIONS WITH UNCERTAIN VOLATILITY AND ITS APPLICATION TO STATIC HEDGING
• Free boundary and American options in a jump-diffusion model

Cited In (14)

• Approximation for option prices under uncertain volatility
• Maximal (minimal) conditional expectation and European option pricing with ambiguous return rate and volatility
• Models with Uncertain Volatility
• European option pricing under multifactor uncertain volatility model
• American option pricing formula for uncertain financial market
• American options under uncertain volatility
• Valuation of American Call Option Considering Uncertain Volatility
• Computation of the effects of uncertainty in volatility on option pricing and hedging
• Option pricing via maximization over uncertainty and correction of volatility smile
• Pricing American options with uncertain volatility through stochastic linear complementarity models
• A computational scheme for uncertain volatility model in option pricing
• American option pricing with imprecise risk-neutral probabilities
• Model uncertainty and the pricing of American options
• European option pricing with ambiguous return rate and volatility

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