Valuation of American options in ambiguous multifactor models

Authors: Agarwal, Ankush, Author, Ewald, Christian Oliver, Author, Zou, Yihan, Author

Contributors: Agarwal, Ankush, Author, Ewald, Christian Oliver, Author, Zou, Yihan, Author

Source: Quantitative finance. 26(7):1049-1070

Subject Terms: American options, Monte Carlo simulation, Parallel computing, Parameter uncertainty, Reflected backward stochastic differential equations

File Description: electronic

Access URL: https://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-255466
https://doi.org/10.1080/14697688.2026.2657390

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