Combinatorial implications of nonlinear uncertain volatility models: the case of barrier options

DOI10.1080/135048699334582zbMath1014.91036OpenAlexW2136686618MaRDI QIDQ4541566

Robert Buff, Marco Avellaneda

Publication date: 4 September 2002

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/135048699334582

zbMATH Keywords

portfoliouncertain volatility modelvanilla optionsbarrier optionsworst-case prices

Mathematics Subject Classification ID

Related Items (8)

A semi-analytic valuation of American options under a two-state regime-switching economy ⋮ Model uncertainty, recalibration, and the emergence of delta-vega hedging ⋮ Markov chains under nonlinear expectation ⋮ An integral equation approach for pricing American put options under regime-switching model ⋮ WORST-CASE SCENARIOS FOR AMERICAN OPTIONS ⋮ Hedging with small uncertainty aversion ⋮ Approximations and asymptotics of upper hedging prices in multinomial models ⋮ THE BLACK SCHOLES BARENBLATT EQUATION FOR OPTIONS WITH UNCERTAIN VOLATILITY AND ITS APPLICATION TO STATIC HEDGING

Cites Work

• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
• Pricing Options With Curved Boundaries¹
• Pricing Barrier Options with Time–Dependent Coefficients
• Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model

This page was built for publication: Combinatorial implications of nonlinear uncertain volatility models: the case of barrier options