Analysis of an uncertain volatility model

DOI10.1155/JAMDS/2006/15609zbMath1153.91485OpenAlexW2100451591MaRDI QIDQ955456

Marco Di Francesco, Andrea Pascucci, Paolo Foschi

Publication date: 20 November 2008

Published in: Journal of Applied Mathematics and Decision Sciences (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/129562

Mathematics Subject Classification ID

Related Items

A characteristics-finite differences method for the Hobson-Rogers uncertain volatility model ⋮ Characterization of solutions of a class of ultraparabolic equations of the Kolmogorov type ⋮ Path dependent volatility ⋮ Calibration of a path-dependent volatility model: empirical tests ⋮ Adaptive stochastic weak approximation of degenerate parabolic equations of Kolmogorov type ⋮ An efficient Monte Carlo simulation for new uncertain Heston-CIR hybrid model

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