The uncertain volatility approach to financial derivatives is extended to American options (which allow early exercise … to lead to a recursive structure to the exercise possibilities across options. Other novel features include: the … optimality sometimes of partial exercise; an interesting resolution to the issues surrounding short options whose exercise is …

This paper considers the pricing of multiple exercise options in discrete time. This type of option can be exercised up … to a finite number of times over the lifetime of the contract. We allow multiple exercise of the option at each time … single exercise possibility at each time. In the general case there is not a solution of this type. We develop a dual …