Pricing American options with uncertain volatility through stochastic linear complementarity models

Kenji Hamatani and Masao Fukushima ()

Computational Optimization and Applications, 2011, vol. 50, issue 2, 263-286

Keywords: Option pricing; American option; Uncertain volatility; Stochastic linear complementarity problem (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1007/s10589-010-9344-4

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