Valuation of European Options Under an Uncertain Market Price of Volatility Risk (Q5879358)
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scientific article; zbMATH DE number 7657806
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Valuation of European Options Under an Uncertain Market Price of Volatility Risk |
scientific article; zbMATH DE number 7657806 |
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Valuation of European Options Under an Uncertain Market Price of Volatility Risk (English)
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28 February 2023
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uncertain market price
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volatility risk
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Hamilton-Jacobi-Bellman equation
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finite element method
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uncertainty quantification
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