Abstract
Vanilla options are standard European calls and puts on the underlying asset. Before we discuss algorithms for barrier and American options we illustrate uncertain volatility for portfolios of vanilla options with an example.
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© 2002 Springer-Verlag Berlin Heidelberg
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Buff, R. (2002). Algorithms for Vanilla Options. In: Uncertain Volatility Models — Theory and Application. Springer Finance. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-56323-2_6
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DOI: https://doi.org/10.1007/978-3-642-56323-2_6
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-42657-8
Online ISBN: 978-3-642-56323-2
eBook Packages: Springer Book Archive