Year: 2010
Author: I. Hlaváček
Advances in Applied Mathematics and Mechanics, Vol. 2 (2010), Iss. 2 : pp. 211–221
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.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.4208/aamm.09-m0967
Advances in Applied Mathematics and Mechanics, Vol. 2 (2010), Iss. 2 : pp. 211–221
Published online: 2010-01
AMS Subject Headings: Global Science Press
Copyright: COPYRIGHT: © Global Science Press
Pages: 11
Keywords: American options parabolic variational inequality uncertain parameter.