Valuation of European Options Under an Uncertain Market Price of Volatility Risk

DOI10.1080/1350486X.2022.2125884OpenAlexW3163045608MaRDI QIDQ5879358

Bartosz Jaroszkowski, Max Jensen

Publication date: 28 February 2023

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2105.09581

zbMATH Keywords

Hamilton-Jacobi-Bellman equationfinite element methoduncertainty quantificationvolatility riskuncertain market price

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

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