Super-replication of American Options in an Uncertain Volatility Model

No abstract is available for this paper.

• Publication year

  2019

• Venue

  Unknown venue

• Publication date

  2019-07-29

• Fields of study

  Mathematics, Business, Economics

• Identifiers

  No identifiers available.

• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

• Theory of Rational Option Pricing

  2015cited by this paper
• Brownian Motion and Stochastic Calculus

  2008cited by this paper
• Optimal Stopping and Free-Boundary Problems

  2006cited by this paper
• Viscosity Solutions of Nonlinear Second Order Elliptic PDEs Associated with Impulse Control Problems II By

  2005cited by this paper
• Controlled diffusion processes

  2005cited by this paper
• Robustness of the Black-Scholes approach in the case of options on several assets

  2000cited by this paper
• EQUILIBRIUM STATE PRICES IN A STOCHASTIC VOLATILITY MODEL1

  1996cited by this paper
• Uncertain volatility and the risk-free synthesis of derivatives

  1995cited by this paper
• The Malliavin Calculus and Related Topics

  1995cited by this paper
• On the nonlinear degenerate elliptic PDEs with obstacles(Nonlinear Evolution Equations and Their Applications)

  1995cited by this paper
• On the uniqueness and existence of solutions of fully nonlinear parabolic PDEs under the Osgood type condition

  1994cited by this paper
• On the regularity theory of fully nonlinear parabolic equations: II

  1992cited by this paper
• The Pricing of the American Option

  1992cited by this paper
• Optimal Stopping and the American Put

  1991cited by this paper
• Variational inequalities and the pricing of American options

  1990cited by this paper
• On the pricing of American options

  1988cited by this paper
• The maximum principle for viscosity solutions of fully nonlinear second order partial differential equations

  1988cited by this paper
• The Pricing of Options on Assets with Stochastic Volatilities

  1987cited by this paper
• Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness

  1983cited by this paper

• No citing papers are available for this paper.