The PDEs and numerical scheme for derivatives under uncertainty volatility
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Publication:2298029
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)
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Cites work
- scientific article; zbMATH DE number 1069620 (Why is no real title available?)
- scientific article; zbMATH DE number 1066320 (Why is no real title available?)
- scientific article; zbMATH DE number 1795842 (Why is no real title available?)
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- Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations
- The pricing of Asian options in uncertain volatility model
- Uncertainty, risk-neutral measures and security price booms and crashes
Cited in
(5)- Uncertain volatility and the risk-free synthesis of derivatives
- A PDE approach to risk measures of derivatives
- \(\alpha\)-hypergeometric uncertain volatility models and their connection to 2BSDEs
- An unconditionally monotone numerical scheme for the two-factor uncertain volatility model
- Deep Curve-Dependent PDEs for Affine Rough Volatility
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