Asian option pricing under an uncertain volatility model

DOI10.1155/2020/4758052zbMATH Open1544.9133MaRDI QIDQ6534446

Yuecai Han, Chunyang Liu

Publication date: 7 May 2021

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• The pricing of options and corporate liabilities
• Financial markets with volatility uncertainty
• Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
• Vulnerable options pricing under uncertain volatility model
• Valuing equity-linked death benefits in general exponential Lévy models
• Approximation for Option Prices under Uncertain Volatility
• The zero set of a solution of a parabolic equation.
• Numerical convergence properties of option pricing PDEs with uncertain volatility
• Pricing and hedging derivative securities in markets with uncertain volatilities
• Uncertain volatility and the risk-free synthesis of derivatives
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
• Implicit solution of uncertain volatility/transaction cost option pricing models with discretely observed barriers.
• Stochastic differential equations. An introduction with applications.

Related Items (8)

The fuzzy pricing of Asian options based on weighted possibilistic mean ⋮ Critical value-based Asian option pricing model for uncertain financial markets ⋮ Model-Independent Bounds for Asian Options: A Dynamic Programming Approach ⋮ Short Maturity Asian Options in Local Volatility Models ⋮ SUBLEADING CORRECTION TO THE ASIAN OPTIONS VOLATILITY IN THE BLACK–SCHOLES MODEL ⋮ Pricing Asian options in a semimartingale model ⋮ Asian-barrier option pricing formulas of uncertain financial market ⋮ Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility

This page was built for publication: Asian option pricing under an uncertain volatility model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6534446)