Pricing American options with uncertain volatility through stochastic linear complementarity models
DOI10.1007/S10589-010-9344-4zbMATH Open1236.91133OpenAlexW2098930751MaRDI QIDQ763392FDOQ763392
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
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Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic programming (90C15) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)
Cites Work
- The pricing of options and corporate liabilities
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Title not available (Why is that?)
- Finite-Dimensional Variational Inequalities and Complementarity Problems
- Introduction to Stochastic Programming
- Option pricing: A simplified approach
- The Mathematics of Financial Derivatives
- Multigrid for American option pricing with stochastic volatility
- Sample-path solution of stochastic variational inequalities
- Expected Residual Minimization Method for Stochastic Linear Complementarity Problems
- Robust solution of monotone stochastic linear complementarity problems
- Penalty methods for American options with stochastic volatility
- Stochastic Optimization Methods
- Pricing American options with uncertain volatility through stochastic linear complementarity models
Cited In (10)
- Lattice Boltzmann method for the linear complementarity problem arising from American option pricing
- Infeasible interior-point algorithms based on sampling average approximations for a class of stochastic complementarity problems and their applications
- Pricing American contingent claims by stochastic linear programming
- The deterministic ERM and CVaR reformulation for the stochastic generalized complementarity problem
- CVaR-constrained stochastic programming reformulation for stochastic nonlinear complementarity problems
- Pricing American options with uncertain volatility through stochastic linear complementarity models
- Haar‐wavelet based approximation for pricing American options under linear complementarity formulations
- A note on stability for risk-averse stochastic complementarity problems
- Smoothing methods for nonsmooth, nonconvex minimization
- A kind of stochastic eigenvalue complementarity problems
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