Robustness of Hilbert space-valued stochastic volatility models

DOI10.1007/s00780-024-00542-4MaRDI QIDQ6619590

Publication date: 16 October 2024

Published in: Finance and Stochastics (Search for Journal in Brave)

Hilbert space-valued stochastic volatility robustness of options on forwards and volatility robustness under perturbation stochastic-volatility-modulated Ornstein-Uhlenbeck processes

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Random operators and equations (aspects of stochastic analysis) (60H25) Derivative securities (option pricing, hedging, etc.) (91G20) Operators on Hilbert spaces (general) (47B02)

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