Pricing American options with uncertain volatility through stochastic linear complementarity models
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DOI: 10.1007/s10589-010-9344-4
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Cited by:
- Liyan Xu & Bo Yu, 2014. "CVaR-constrained stochastic programming reformulation for stochastic nonlinear complementarity problems," Computational Optimization and Applications, Springer, vol. 58(2), pages 483-501, June.
- Johanna Burtscheidt & Matthias Claus, 2017. "A Note on Stability for Risk-Averse Stochastic Complementarity Problems," Journal of Optimization Theory and Applications, Springer, vol. 172(1), pages 298-308, January.
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Keywords
Option pricing; American option; Uncertain volatility; Stochastic linear complementarity problem;All these keywords.
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