Computation of the effects of uncertainty in volatility on option pricing and hedging
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Monte Carlo methods (65C05) Spectral, collocation and related methods for boundary value problems involving PDEs (65N35) Probabilistic methods, particle methods, etc. for boundary value problems involving PDEs (65N75) Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80)
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Cites work
- 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
- 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?)
- 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 pricing of the American option
- The Wiener--Askey Polynomial Chaos for Stochastic Differential Equations
- Uncertain Parameters, an Empirical Stochastic Volatility Model and Confidence Limits
- Valuing American options by simulation: a simple least-squares approach
Cited in
(6)- A computational scheme for uncertain volatility model in option pricing
- A note on stochastic polynomial chaos expansions for uncertain volatility and Asian option pricing
- scientific article; zbMATH DE number 6719162 (Why is no real title available?)
- Uncertain volatility and the risk-free synthesis of derivatives
- Uncertainty quantification of derivative instruments
- UNCERTAINTY IN PRICING TRADABLE OPTIONS
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