Uncertain volatility models -- theory and application

DOI10.1007/978-3-642-56323-2zbMath1004.91033OpenAlexW629014062MaRDI QIDQ1601918

Robert Buff

Publication date: 27 June 2002

Published in: Springer Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-56323-2

zbMATH Keywords

stochastic volatilityoption pricingnonlinearityAmerican optionsC++ implementationuncertain volatility modelsvolatility bands

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Computational methods for problems pertaining to game theory, economics, and finance (91-08) Portfolio theory (91G10) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)

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Uses Software

• Mathematica
• L-BFGS-B
• L-BFGS
• MtgClt