Valuation of American Call Option Considering Uncertain Volatility

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985840%3A_____%2F10%3A00359287" target="_blank" >RIV/67985840:_____/10:00359287 - isvavai.cz</a>

Result on the web

<a href="http://dx.doi.org/10.4208/aamm.09-m0967" target="_blank" >http://dx.doi.org/10.4208/aamm.09-m0967</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.4208/aamm.09-m0967" target="_blank" >10.4208/aamm.09-m0967</a>

Result language

angličtina

Original language name

Valuation of American Call Option Considering Uncertain Volatility

Original language description

The parabolic variational inequality for simulating the valuation of American option is used to analyze a continuous dependence of the solution with respect to the uncertain volatility parameter. Three kinds of the continuity are proved, enabling us to employ the maximum range method for the uncertain parameter, under the condition that the criterion-functional has the corresponding property.

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

BA - General mathematics

OECD FORD branch

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Project

<a href="/en/project/IAA100190803" target="_blank" >IAA100190803: The finite element method for higher dimensional problems</a><br>

Continuities

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>Z - Vyzkumny zamer (s odkazem do CEZ)

Publication year

2010

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Advances in Applied Mathematics and Mechanics

ISSN

2070-0733

e-ISSN

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Volume of the periodical

2

Issue of the periodical within the volume

2

Country of publishing house

CN - CHINA

Number of pages

11

Pages from-to

211-221

UT code for WoS article

000286402200005

EID of the result in the Scopus database

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