Valuation of American Call Option Considering Uncertain Volatility

DOI10.4208/AAMM.09-M0967MaRDI QIDQ4919262zbMATH OpenOpenAlexFDO

Authors I. Hlaváček

Publication date 8 May 2013

Published in Advances in Applied Mathematics and Mechanics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4208/aamm.09-m0967

zbMATH Keywords

American optionsparabolic variational inequalityuncertain parameter

Mathematics Subject Classification ID

Variational inequalities (49J40) Problems with incomplete information (optimization) (49N30) Portfolio theory (91G10)

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(5)

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• Valuing American contingent claims when time to maturity is uncertain
• scientific article; zbMATH DE number 5152227 (Why is no real title available?)
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• Computation of the effects of uncertainty in volatility on option pricing and hedging

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