Approximation for option prices under uncertain volatility
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Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80)
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- scientific article; zbMATH DE number 6719162 (Why is no real title available?)
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- Option Pricing in the Presence of Uncertainty
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- Combinatorial implications of nonlinear uncertain volatility models: the case of barrier options
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