Name
Title | ||
|---|---|---|
Pricing American options with uncertain volatility through stochastic linear complementarity models |
Abstract | ||
|---|---|---|
We consider the problem of pricing American options with uncertain volatility and propose two deterministic formulations based on the expected value method and the expected residual minimization method for a stochastic complementarity problem. We give sufficient conditions that ensure the existence of a solution of those deterministic formulations. Furthermore we show numerical results and discuss the usefulness of the proposed approach. |
Year | DOI | Venue |
|---|---|---|
2011 | 10.1007/s10589-010-9344-4 | Comp. Opt. and Appl. |
Keywords | Field | DocType |
Option pricing,American option,Uncertain volatility,Stochastic linear complementarity problem | Complementarity (molecular biology),Implied volatility,Residual,Mathematical optimization,Mathematical economics,Valuation of options,Complementarity theory,Expected value,Mixed complementarity problem,Volatility (finance),Mathematics | Journal |
Volume | Issue | ISSN |
50 | 2 | 0926-6003 |
Citations | PageRank | References |
4 | 0.42 | 4 |
Authors | ||
2 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Kenji Hamatani | 1 | 4 | 0.42 |
| Masao Fukushima | 2 | 2050 | 172.73 |