Pricing American options with uncertain volatility through stochastic linear complementarity models

DOI10.1007/s10589-010-9344-4zbMath1236.91133MaRDI QIDQ763392

Masao Fukushima, Kenji Hamatani

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 pricing; American option; stochastic linear complementarity problem; uncertain volatility

Mathematics Subject Classification ID

90C15: Stochastic programming

90C33: Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming)

91G20: Derivative securities (option pricing, hedging, etc.)