Models with Uncertain Volatility

DOI10.14529/mmp230301zbMath1530.91610OpenAlexW4388951750MaRDI QIDQ6153044

Unnamed Author, Natalya Danilova

Publication date: 13 February 2024

Published in: Bulletin of the South Ural State University. Series "Mathematical Modelling, Programming and Computer Software" (Search for Journal in Brave)

Full work available at URL: http://mathnet.ru/eng/vyuru691

zbMATH Keywords

Black-Scholes modeloptionHeston modeluncertain volatilityfair priceviscosity equation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Central limit theorem under uncertain linear transformations
• The Heston Model and Its Extensions in Matlab and C#
• Pricing and hedging derivative securities in markets with uncertain volatilities
• Control in Binary Models with Disorder
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• Stochastic Perron's Method for Hamilton--Jacobi--Bellman Equations
• THE BLACK SCHOLES BARENBLATT EQUATION FOR OPTIONS WITH UNCERTAIN VOLATILITY AND ITS APPLICATION TO STATIC HEDGING

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