The Uncertain Volatility Model and American Options

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Submitted on 24 May 2006

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The Uncertain Volatility Model and American Options

Claude Martini

To cite this version:

Claude Martini. The Uncertain Volatility Model and American Options. [Research Report] RR-3697, INRIA. 1999. �inria-00072972�

a p p o r t

d e r e c h e r c h e

INSTITUT NATIONAL DE RECHERCHE EN INFORMATIQUE ET EN AUTOMATIQUE

The Uncertain Volatility Model and American Options

Claude Martini

No 3697

May, 1999

TH `EME 4

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