Манзюк Юлия Анатольевна
American Options Valuation Under Uncertainty
In this work, I investigated American option valuation in continuous time under two types of uncertainty. The first type is uncertainty about the underlying asset price drift. Using theoretical results in this field, I provided some numerical experiments. The second type is uncertainty about the underlying asset price volatility. Using G-expectation framework, I slightly extended existing studies on optimal stopping problem (in G-framework) on the case of American options. Some numerical examples were also conducted.