Pricing American options with uncertain volatility through stochastic linear complementarity models
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References listed on IDEAS
- Bakshi, Gurdip & Cao, Charles & Chen, Zhiwu, 1997.
" Empirical Performance of Alternative Option Pricing Models,"
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- Heston, Steven L, 1993. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 327-343.
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- 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.
More about this item
KeywordsOption pricing; American option; Uncertain volatility; Stochastic linear complementarity problem;
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