The PDEs and numerical scheme for derivatives under uncertainty volatility

DOI10.1155/2019/1268301zbMATH Open1435.91185OpenAlexW2947447935WikidataQ114070527 ScholiaQ114070527MaRDI QIDQ2298029FDOQ2298029

Authors: Yu-lian Fan 

Publication date: 20 February 2020

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

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

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Mathematics Subject Classification ID

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

Cites Work

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• Stochastic analysis and applications. The Abel symposium 2005. Proceedings of the second Abel symposium, Oslo, Norway, July 29 -- August 4, 2005, held in honor of Kiyosi Itô.
• The pricing of Asian options in uncertain volatility model
• Law of large numbers and central limit theorem under nonlinear expectations

Cited In (4)

• A PDE approach to risk measures of derivatives
• Deep Curve-Dependent PDEs for Affine Rough Volatility
• $\alpha$-Hypergeometric Uncertain Volatility Models and their Connection to 2BSDEs
• Uncertain volatility and the risk-free synthesis of derivatives

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