Vulnerable options pricing under uncertain volatility model

DOI10.1186/s13660-019-2266-5zbMath1499.91153OpenAlexW2995604790WikidataQ126587920 ScholiaQ126587920MaRDI QIDQ2068116

Qing Zhou, Xiao-Nan Li

Publication date: 19 January 2022

Published in: Journal of Inequalities and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s13660-019-2266-5

zbMATH Keywords

stochastic controluncertain volatility modelvulnerable optionnonlinear Black-Scholes-Barenblatt partial differential equation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

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