Pricing American options with uncertain volatility through stochastic linear complementarity models
| Year of publication: |
2011
|
|---|---|
| Authors: | Hamatani, Kenji ; Fukushima, Masao |
| Published in: |
Computational Optimization and Applications. - Springer. - Vol. 50.2011, 2, p. 263-286
|
| Publisher: |
Springer |
| Subject: | Option pricing | American option | Uncertain volatility | Stochastic linear complementarity problem |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10009325268