European Option Pricing with Stochastic Volatility Models Under Parameter Uncertainty

DOI10.1007/978-3-030-22285-7_5zbMath1498.91432arXiv1807.03882OpenAlexW2971517375MaRDI QIDQ5038294

Martin Tegnér, Samuel N. Cohen

Publication date: 30 September 2022

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1807.03882

zbMATH Keywords

stochastic volatilityoption pricingmodel uncertainty

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Robust deep hedging ⋮ Deep signature FBSDE algorithm ⋮ Valuation of European Options Under an Uncertain Market Price of Volatility Risk

Uses Software

• earth
• ElemStatLearn

Cites Work

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