The pricing of Asian options in uncertain volatility model

DOI10.1155/2014/786391zbMath1407.91248OpenAlexW1999124532WikidataQ59072173 ScholiaQ59072173MaRDI QIDQ1719127

Publication date: 8 February 2019

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/786391

Mathematics Subject Classification ID

Applications of optimal control and differential games (49N90) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

The PDEs and numerical scheme for derivatives under uncertainty volatility ⋮ An efficient Monte Carlo simulation for new uncertain Heston-CIR hybrid model

Cites Work

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