Analysis of an uncertain volatility model

DOI10.1155/JAMDS/2006/15609MaRDI QIDQ955456zbMATH OpenOpenAlexFDO

Authors Marco Di Francesco, Paolo Foschi, Andrea Pascucci

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

Review text

Summary: We examine, from both analytical and numerical viewpoints, the uncertain volatility model by Hobson-Rogers in the framework of degenerate parabolic PDEs of Kolmogorov type.

Cites work

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Cited in

(9)

• Analysis of incomplete stock market with jump-diffusion uncertainty
• A volatility smile-based uncertainty index
• An efficient Monte Carlo simulation for new uncertain Heston-CIR hybrid model
• Characterization of solutions of a class of ultraparabolic equations of the Kolmogorov type
• A characteristics-finite differences method for the Hobson-Rogers uncertain volatility model
• A study of the Kuramoto model for synchronization phenomena based on degenerate Kolmogorov-Fokker-Planck equations
• Path dependent volatility
• Calibration of a path-dependent volatility model: empirical tests
• Adaptive stochastic weak approximation of degenerate parabolic equations of Kolmogorov type

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