Pricing European call options with interval-valued volatility and interest rate

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Pricing European call options with interval-valued volatility and interest rate

We propose a novel approach to pricing European call options when both of the volatility of the underlying asset and interest are uncertain. In this approach, we formulate the option pricing problem with uncertain parameters as a partial-differential inequality constrained interval optimization prob...

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Bibliographic Details
Main Author:	Wang, Song
Format:	Journal Article
Published:	2024
Online Access:	http://purl.org/au-research/grants/arc/DP190103361 http://hdl.handle.net/20.500.11937/96006

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