Computation of the effects of uncertainty in volatility on option pricing and hedging
From MaRDI portal
Publication:4903549
Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60) Probabilistic methods, particle methods, etc. for boundary value problems involving PDEs (65N75) Spectral, collocation and related methods for boundary value problems involving PDEs (65N35) Financial applications of other theories (91G80)
Recommendations
- Valuation of European Options Under an Uncertain Market Price of Volatility Risk
- Valuation of American Call Option Considering Uncertain Volatility
- Uncertainty quantification of derivative instruments
- European option pricing with stochastic volatility models under parameter uncertainty
- On the American option-pricing model with an uncertain volatility
Cites work
- scientific article; zbMATH DE number 1999206 (Why is no real title available?)
- scientific article; zbMATH DE number 4001209 (Why is no real title available?)
- scientific article; zbMATH DE number 3273551 (Why is no real title available?)
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- An exact and explicit solution for the valuation of American put options
- Implementing Spectral Methods for Partial Differential Equations
- Long-term behavior of polynomial chaos in stochastic flow simulations
- Numerical methods for stochastic computations. A spectral method approach.
- On Generating Orthogonal Polynomials
- Polynomial chaos for simulating random volatilities
- Spectral Methods for Uncertainty Quantification
- Stochastic calculus for finance. II: Continuous-time models.
- The Wiener--Askey Polynomial Chaos for Stochastic Differential Equations
- The pricing of the American option
- Uncertain Parameters, an Empirical Stochastic Volatility Model and Confidence Limits
- Valuing American options by simulation: a simple least-squares approach
Cited in
(6)- Uncertain volatility and the risk-free synthesis of derivatives
- scientific article; zbMATH DE number 6719162 (Why is no real title available?)
- A note on stochastic polynomial chaos expansions for uncertain volatility and Asian option pricing
- A computational scheme for uncertain volatility model in option pricing
- Uncertainty quantification of derivative instruments
- UNCERTAINTY IN PRICING TRADABLE OPTIONS
This page was built for publication: Computation of the effects of uncertainty in volatility on option pricing and hedging
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4903549)
