Computation of the effects of uncertainty in volatility on option pricing and hedging
DOI10.1080/00207160.2012.688819zbMATH Open1255.91433OpenAlexW2013814262MaRDI QIDQ4903549FDOQ4903549
Authors: Motoi Namihira, David A. Kopriva 
Publication date: 22 January 2013
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207160.2012.688819
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Cites Work
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- An exact and explicit solution for the valuation of American put options
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- Uncertain Parameters, an Empirical Stochastic Volatility Model and Confidence Limits
Cited In (6)
- Title not available (Why is that?)
- A note on stochastic polynomial chaos expansions for uncertain volatility and Asian option pricing
- UNCERTAINTY IN PRICING TRADABLE OPTIONS
- Uncertainty quantification of derivative instruments
- A computational scheme for uncertain volatility model in option pricing
- Uncertain volatility and the risk-free synthesis of derivatives
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