@Article{AAMM-2-2,
author = {I., Hlaváček},
title = {Valuation of American Call Option Considering Uncertain Volatility},
journal = {Advances in Applied Mathematics and Mechanics},
year = {2010},
volume = {2},
number = {2},
pages = {211--221},
abstract = {<p style="text-align: justify;">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.</p>},
issn = {2075-1354},
doi = {https://doi.org/10.4208/aamm.09-m0967},
url = {https://global-sci.com/article/73635/valuation-of-american-call-option-considering-uncertain-volatility}
}