Approximation for Option Prices under Uncertain Volatility (Q2940763)

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Approximation for Option Prices under Uncertain Volatility
scientific article

    Statements

    title
    Approximation for Option Prices under Uncertain Volatility (English)
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    author
    Jean-Pierre Fouque
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    Bin Ren
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    publication date
    20 January 2015
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    zbMATH Keywords
    uncertain volatility model
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    nonlinear Black-Scholes-Barenblatt PDE
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    approximation
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    Identifiers

    DOI
    10.1137/130908385
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    Mathematics Subject Classification ID
    60H30
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    60H10
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    60H35
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    91G80
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    91G60
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    65C30
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    zbMATH DE Number
    6388328
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