OPTION PRICING VIA MAXIMIZATION OVER UNCERTAINTY AND CORRECTION OF VOLATILITY SMILE

DOI10.1142/S0219024911006711zbMath1218.91153MaRDI QIDQ5198955

Nikolai G. Dokuchaev

Publication date: 10 August 2011

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

zbMATH Keywords

Hamilton-Jacobi-Bellman equationstochastic volatilitydiffusion market modelvolatility smileuncertain volatility

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (1)

On the implied market price of risk under the stochastic numéraire

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Mean-variance hedging for general claims
• Dynamic programming and mean-variance hedging
• Mean-variance hedging for continuous processes: New proofs and examples
• On \(L^2\)-projections on a space of stochastic integrals
• Bounds on European Option Prices under Stochastic Volatility
• Options and Efficiency
• Learning about Risk: Some Lessons from Insurance
• Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model

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