Computation of the effects of uncertainty in volatility on option pricing and hedging (Q4903549)
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scientific article; zbMATH DE number 6127886
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| English | Computation of the effects of uncertainty in volatility on option pricing and hedging |
scientific article; zbMATH DE number 6127886 |
Statements
Computation of the effects of uncertainty in volatility on option pricing and hedging (English)
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22 January 2013
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option pricing
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uncertainty
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polynomial chaos
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hedging
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Monte Carlo
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0.7693560719490051
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0.7460064888000488
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0.7459673285484314
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0.7458869218826294
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0.7457349896430969
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