Pricing American options with uncertain volatility through stochastic linear complementarity models

DOI10.1007/S10589-010-9344-4MaRDI QIDQ763392zbMATH OpenOpenAlexFDO

Authors Kenji Hamatani, Masao Fukushima

Publication date 9 March 2012

Published in Computational Optimization and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10589-010-9344-4

zbMATH Keywords

option pricingAmerican optionstochastic linear complementarity problemuncertain volatility

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic programming (90C15) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)

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Cites work

• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Expected Residual Minimization Method for Stochastic Linear Complementarity Problems
• Finite-Dimensional Variational Inequalities and Complementarity Problems
• Introduction to Stochastic Programming
• Multigrid for American option pricing with stochastic volatility
• Option pricing: A simplified approach
• Penalty methods for American options with stochastic volatility
• Pricing American options with uncertain volatility through stochastic linear complementarity models
• Robust solution of monotone stochastic linear complementarity problems
• Sample-path solution of stochastic variational inequalities
• Stochastic Optimization Methods
• The Mathematics of Financial Derivatives
• The pricing of options and corporate liabilities

Cited in

(11)

• Pricing American options with uncertain volatility through stochastic linear complementarity models
• Pricing American contingent claims by stochastic linear programming
• Haar‐wavelet based approximation for pricing American options under linear complementarity formulations
• Lattice Boltzmann method for the linear complementarity problem arising from American option pricing
• The deterministic ERM and CVaR reformulation for the stochastic generalized complementarity problem
• A kind of stochastic eigenvalue complementarity problems
• American options in an illiquid market: nonlinear complementary method
• Smoothing methods for nonsmooth, nonconvex minimization
• Infeasible interior-point algorithms based on sampling average approximations for a class of stochastic complementarity problems and their applications
• A note on stability for risk-averse stochastic complementarity problems
• CVaR-constrained stochastic programming reformulation for stochastic nonlinear complementarity problems

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