Pricing American options with uncertain volatility through stochastic linear complementarity models.

Kenji Hamatani Masao Fukushima

Published in: Comput. Optim. Appl. (2011)

Keyphrases

incomplete information
probabilistic model
statistical models
linear models
stochastic models
decision making
complex systems
stochastic model
artificial neural networks
parameter estimation
monte carlo
financial markets
mechanism design
nonlinear models
linear gaussian