Kenji Hamatani, Masao Fukushima. Pricing American options with uncertain volatility through stochastic linear complementarity models. Comp. Opt. and Appl., 50(2):263-286, 2011. [doi]
@article{HamataniF11,
title = {Pricing American options with uncertain volatility through stochastic linear complementarity models},
author = {Kenji Hamatani and Masao Fukushima},
year = {2011},
doi = {10.1007/s10589-010-9344-4},
url = {http://dx.doi.org/10.1007/s10589-010-9344-4},
researchr = {https://researchr.org/publication/HamataniF11},
cites = {0},
citedby = {0},
journal = {Comp. Opt. and Appl.},
volume = {50},
number = {2},
pages = {263-286},
}