A simple framework for the stochastic volatility uncertainty

DOI10.22130/SCMA.2025.2051239.2027MaRDI QIDQ6957440zbMATH OpenFDO

Authors Neda Esmaeeli

Publication date 16 July 2025

Published in Sahand Communications in Mathematical Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.22130/SCMA.2025.2051239.2027

zbMATH Keywords

pricing simple contingent claimsthe Heston modeluncertain volatilityviscosity solution

Mathematics Subject Classification ID

Viscosity solutions to PDEs (35D40) PDEs in connection with control and optimization (35Q93) Set-valued and variational analysis (49J53) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites work

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• Uncertain volatility and the risk-free synthesis of derivatives
• Uncertain volatility models with stochastic bounds
• Uncertainty quantification and Heston model

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