Computation of the effects of uncertainty in volatility on option pricing and hedging
DOI10.1080/00207160.2012.688819zbMath1255.91433OpenAlexW2013814262MaRDI QIDQ4903549
Motoi Namihira, David A. Kopriva
Publication date: 22 January 2013
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207160.2012.688819
Numerical methods (including Monte Carlo methods) (91G60) Probabilistic methods, particle methods, etc. for boundary value problems involving PDEs (65N75) Monte Carlo methods (65C05) Spectral, collocation and related methods for boundary value problems involving PDEs (65N35) Financial applications of other theories (91G80)
Related Items (1)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Long-term behavior of polynomial chaos in stochastic flow simulations
- Polynomial chaos for simulating random volatilities
- The pricing of the American option
- Stochastic calculus for finance. II: Continuous-time models.
- Implementing Spectral Methods for Partial Differential Equations
- Spectral Methods for Uncertainty Quantification
- On Generating Orthogonal Polynomials
- Uncertain Parameters, an Empirical Stochastic Volatility Model and Confidence Limits
- The Wiener--Askey Polynomial Chaos for Stochastic Differential Equations
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Valuing American Options by Simulation: A Simple Least-Squares Approach
- An exact and explicit solution for the valuation of American put options
This page was built for publication: Computation of the effects of uncertainty in volatility on option pricing and hedging
