The PDEs and numerical scheme for derivatives under uncertainty volatility

DOI10.1155/2019/1268301MaRDI QIDQ2298029zbMATH OpenOpenAlexWikidataFDO

Authors Yu-lian Fan

Publication date 20 February 2020

Published in Mathematical Problems in Engineering (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2019/1268301

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical solutions to stochastic differential and integral equations (65C30) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80)

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Cites work

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Cited in

(5)

• A PDE approach to risk measures of derivatives
• An unconditionally monotone numerical scheme for the two-factor uncertain volatility model
• Uncertain volatility and the risk-free synthesis of derivatives
• -hypergeometric uncertain volatility models and their connection to 2BSDEs
• Deep Curve-Dependent PDEs for Affine Rough Volatility

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