Uncertain Parameters, an Empirical Stochastic Volatility Model and Confidence Limits

DOI10.1142/S0219024998000096zbMath0908.90021MaRDI QIDQ4216106

Asli Oztukel, Paul Wilmott

Publication date: 22 November 1998

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

stochastic volatilityuncertain parameterworst-case scenariovaluing derivatives

Mathematics Subject Classification ID

Related Items (9)

Robust deep hedging ⋮ The application of nonlinear fuzzy parameters PDE method in pricing and hedging European options ⋮ UNDERSTANDING BID-ASK SPREADS OF DERIVATIVES UNDER UNCERTAIN VOLATILITY AND TRANSACTION COSTS ⋮ ON THE CONSISTENCY OF THE DETERMINISTIC LOCAL VOLATILITY FUNCTION MODEL ('IMPLIED TREE') ⋮ RENORMALIZATION OF BLACK-SCHOLES EQUATION FOR STOCHASTICALLY FLUCTUATING INTEREST RATE ⋮ Unnamed Item ⋮ Computation of the effects of uncertainty in volatility on option pricing and hedging ⋮ A maximum likelihood approach to volatility estimation for a Brownian motion using high, low and close price data ⋮ Affine processes under parameter uncertainty

Cites Work

• The Pricing of Options and Corporate Liabilities
• Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model

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