Valuation of European Options Under an Uncertain Market Price of Volatility Risk (Q5879358)
From MaRDI portal
scientific article; zbMATH DE number 7657806
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Valuation of European Options Under an Uncertain Market Price of Volatility Risk |
scientific article; zbMATH DE number 7657806 |
Statements
Valuation of European Options Under an Uncertain Market Price of Volatility Risk (English)
0 references
28 February 2023
0 references
uncertain market price
0 references
volatility risk
0 references
Hamilton-Jacobi-Bellman equation
0 references
finite element method
0 references
uncertainty quantification
0 references
