Volume 2, Issue 2
Valuation of American Call Option Considering Uncertain Volatility

I.Hlaváček

10.4208/aamm.09-m0967

Adv. Appl. Math. Mech., 2 (2010), pp. 211-221.

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  • Abstract

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.

  • History

Published online: 2010-02

  • AMS Subject Headings

91B28, 49J40, 49N30.

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