Analysis of an uncertain volatility model
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Cites work
- scientific article; zbMATH DE number 1985324 (Why is no real title available?)
- scientific article; zbMATH DE number 1535648 (Why is no real title available?)
- scientific article; zbMATH DE number 854995 (Why is no real title available?)
- scientific article; zbMATH DE number 2238099 (Why is no real title available?)
- A Gaussian upper bound for the fundamental solutions of a class of ultraparabolic equations
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- On the Cauchy Problem for a Nonlinear Kolmogorov Equation
- On the complete model with stochastic volatility by Hobson and Rogers
- SOME RESULTS ON PARTIAL DIFFERENTIAL EQUATIONS AND ASIAN OPTIONS
- Some mathematical results in the pricing of American options
- The Dirichlet problem for a class of ultraparabolic equations
- The pricing of options and corporate liabilities
- Zufällige Bewegungen. (Zur Theorie der Brownschen Bewegung.)
Cited in
(9)- 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
- Path dependent volatility
- An efficient Monte Carlo simulation for new uncertain Heston-CIR hybrid model
- Calibration of a path-dependent volatility model: empirical tests
- A volatility smile-based uncertainty index
- Analysis of incomplete stock market with jump-diffusion uncertainty
- Adaptive stochastic weak approximation of degenerate parabolic equations of Kolmogorov type
- A study of the Kuramoto model for synchronization phenomena based on degenerate Kolmogorov-Fokker-Planck equations
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