OPTION PRICING VIA MAXIMIZATION OVER UNCERTAINTY AND CORRECTION OF VOLATILITY SMILE (Q5198955)
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scientific article; zbMATH DE number 5937828
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | OPTION PRICING VIA MAXIMIZATION OVER UNCERTAINTY AND CORRECTION OF VOLATILITY SMILE |
scientific article; zbMATH DE number 5937828 |
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OPTION PRICING VIA MAXIMIZATION OVER UNCERTAINTY AND CORRECTION OF VOLATILITY SMILE (English)
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10 August 2011
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diffusion market model
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volatility smile
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stochastic volatility
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uncertain volatility
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Hamilton-Jacobi-Bellman equation
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