On the American option‐pricing model with an uncertain volatility |
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| Authors: | Hong‐Ming Yin Wen Wang |
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| Affiliation: | Department of Mathematics, Washington State University, Pullman, WA, USA |
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| Abstract: | In this paper, we study an American option‐pricing model with an uncertain volatility. Some properties for the option price are derived. Particularly, a global spread for the option price is proved when the volatility depends on the underlying security and time. This result confirms the observed fact from the real financial data in option markets. Copyright © 2015 John Wiley & Sons, Ltd. |
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| Keywords: | American option model uncertain volatility comparison property |
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