THE BLACK SCHOLES BARENBLATT EQUATION FOR OPTIONS WITH UNCERTAIN VOLATILITY AND ITS APPLICATION TO STATIC HEDGING

DOI10.1142/S0219024906003755zbMath1138.91464OpenAlexW1970864166MaRDI QIDQ5487837

Gunter H. Meyer

Publication date: 12 September 2006

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

Full work available at URL: https://doi.org/10.1142/s0219024906003755

zbMATH Keywords

Black-Scholes-Barenblatt equationoption pricesstatic hedginguncertain volatility

Mathematics Subject Classification ID

Reaction-diffusion equations (35K57)

Related Items (6)

Analysis of fractals, image compression, entropy encoding, Karhunen-Loève transforms ⋮ Robust valuation, arbitrage ambiguity and profit \& loss analysis ⋮ Models with Uncertain Volatility ⋮ Optimal arbitrage under model uncertainty ⋮ Approximations and asymptotics of upper hedging prices in multinomial models ⋮ On the American option-pricing model with an uncertain volatility

Uses Software

• Mathematica
• KELLEY

Cites Work

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• Uncertain volatility models -- theory and application
• UNDERSTANDING BID-ASK SPREADS OF DERIVATIVES UNDER UNCERTAIN VOLATILITY AND TRANSACTION COSTS
• Combinatorial implications of nonlinear uncertain volatility models: the case of barrier options
• Numerical convergence properties of option pricing PDEs with uncertain volatility

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