American option pricing with imprecise risk-neutral probabilities
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چکیده
منابع مشابه
American option pricing with imprecise risk-neutral probabilities
The aim of this paper is to price an American style option when there is uncertainty on the volatility of the underlying asset. An option contract can be either European or American style depending on whether the exercise is possible only at or also before the expiry date. A European option gives the holder the right to buy or sell the underlying asset only at the expiry date of the option. On ...
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ژورنال
عنوان ژورنال: International Journal of Approximate Reasoning
سال: 2008
ISSN: 0888-613X
DOI: 10.1016/j.ijar.2007.06.011