Approximation for Option Prices under Uncertain Volatility

DOI10.1137/130908385zbMath1341.60070OpenAlexW2054697749MaRDI QIDQ2940763

Bin Ren, Jean-Pierre Fouque

Publication date: 20 January 2015

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/717e2c2c6370f198273cf79f8eb5f72553af27de

zbMATH Keywords

approximationuncertain volatility modelnonlinear Black-Scholes-Barenblatt PDE

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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$\alpha$-Hypergeometric Uncertain Volatility Models and their Connection to 2BSDEs ⋮ Black-Scholes in a CEV random environment ⋮ Pricing double volatility barriers option under stochastic volatility ⋮ Robust deep hedging ⋮ Model uncertainty, recalibration, and the emergence of delta-vega hedging ⋮ Duality and General Equilibrium Theory Under Knightian Uncertainty ⋮ Hedging with small uncertainty aversion ⋮ The Randomized Heston Model ⋮ A Convergent Difference Scheme for a Class of Partial Integro-Differential Equations Modeling Pricing under Uncertainty ⋮ Affine processes under parameter uncertainty ⋮ Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities ⋮ Vulnerable options pricing under uncertain volatility model ⋮ Uncertain Volatility Models with Stochastic Bounds

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