Models with Uncertain Volatility

DOI10.14529/MMP230301MaRDI QIDQ6153044zbMATH OpenOpenAlexFDO

Authors Natalya Danilova

Publication date 13 February 2024

Published in Bulletin of the South Ural State University. Series "Mathematical Modelling, Programming and Computer Software" (Search for Journal in Brave)

Full work available at URL http://mathnet.ru/eng/vyuru691

zbMATH Keywords

Black-Scholes modelfair priceHeston modeloptionuncertain volatilityviscosity equation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Central limit theorem under uncertain linear transformations
• Control in Binary Models with Disorder
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Pricing and hedging derivative securities in markets with uncertain volatilities
• Stochastic Perron's method for Hamilton-Jacobi-Bellman equations
• Stock price distributions with stochastic volatility: an analytic approach
• THE BLACK SCHOLES BARENBLATT EQUATION FOR OPTIONS WITH UNCERTAIN VOLATILITY AND ITS APPLICATION TO STATIC HEDGING
• The Heston model and its extensions in Matlab and C\#. With a foreword by Steven L. Heston
• The pricing of options and corporate liabilities

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