Calibrating volatility function bounds for an uncertain volatility model

DOI10.21314/JCF.2010.219MaRDI QIDQ5411507zbMATH OpenOpenAlexFDO

Authors Thomas F. Coleman, C. He, Yuying Li

Publication date 23 April 2014

Published in The Journal of Computational Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.21314/jcf.2010.219

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial applications of other theories (91G80)

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(7)

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• Uncertain volatility models with stochastic bounds
• Measures of model uncertainty and calibrated option bounds
• The use of statistical tests to calibrate the Black-Scholes asset dynamics model applied to pricing options with uncertain volatility
• Calibrating a Diffusion Pricing Model with Uncertain Volatility: Regularization and Stability
• Testing robustness in calibration of stochastic volatility models
• Computation and analysis for a constrained entropy optimization problem in finance

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