$\alpha$-Hypergeometric Uncertain Volatility Models and their Connection to 2BSDEs
DOI10.21915/BIMAS.2021304zbMath1483.91239arXiv2108.06965MaRDI QIDQ5033264
Mohamed Riad Remita, Zaineb Mezdoud, Omar Kebiri, Carsten Hartmann
Publication date: 22 February 2022
Published in: Bulletin of the Institute of Mathematics Academia Sinica NEW SERIES (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2108.06965
uncertain volatility model\(\alpha\)-hypergeometric stochastic volatility model2BSDEdeep learning based discretisation of 2BSDE
Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
Cites Work
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- The \(\alpha\)-hypergeometric stochastic volatility model
- Financial markets with volatility uncertainty
- Option pricing and implied volatilities in a 2-hypergeometric stochastic volatility model
- Continuous-time stochastic control and optimization with financial applications
- Nonlinear partial differential equations. Asymptotic behavior of solutions and self-similar solutions
- The PDEs and numerical scheme for derivatives under uncertainty volatility
- Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations
- Continuous and tractable models for the variation of evolutionary rates
- Approximation for Option Prices under Uncertain Volatility
- Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
- Uncertain Volatility Models with Stochastic Bounds
- Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application
- Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness
- Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs
- Singular Perturbations in Option Pricing
- Lp- Theory for fully nonlinear uniformly parabolic equations
- Strongly prime near-rings 2
- Pricing and hedging derivative securities in markets with uncertain volatilities
- Variational approach to rare event simulation using least-squares regression
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
This page was built for publication: $\alpha$-Hypergeometric Uncertain Volatility Models and their Connection to 2BSDEs
