WORST-CASE SCENARIOS FOR AMERICAN OPTIONS

DOI10.1142/S0219024900000036MaRDI QIDQ3523541zbMATH OpenOpenAlexFDO

Authors Robert Buff

Publication date 3 September 2008

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024900000036

Mathematics Subject Classification ID

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Cites work

• Combinatorial implications of nonlinear uncertain volatility models: the case of barrier options
• Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model
• On the pricing of American options

Cited in

(2)

• American options under uncertain volatility
• The worst case for real options

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