Computation of the effects of uncertainty in volatility on option pricing and hedging

DOI10.1080/00207160.2012.688819zbMath1255.91433MaRDI QIDQ4903549

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

zbMATH Keywords

uncertainty; Monte Carlo; hedging; option pricing; polynomial chaos

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65N75: Probabilistic methods, particle methods, etc. for boundary value problems involving PDEs

65C05: Monte Carlo methods

65N35: Spectral, collocation and related methods for boundary value problems involving PDEs

91G80: Financial applications of other theories

Related Items

A note on stochastic polynomial chaos expansions for uncertain volatility and Asian option pricing

Cites Work

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