Uncertain volatility models -- theory and application

DOI10.1007/978-3-642-56323-2MaRDI QIDQ1601918zbMATH OpenOpenAlexFDO

Authors Robert Buff

Publication date 27 June 2002

Published in Springer Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-56323-2

zbMATH Keywords

American optionsC++ implementationnonlinearityoption pricingstochastic volatilityuncertain volatility modelsvolatility bands

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Computational methods for problems pertaining to game theory, economics, and finance (91-08) Portfolio theory (91G10) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(17)

• A volatility smile-based uncertainty index
• The asymptotic behavior of the solutions of the Black-Scholes equation as volatility \(\sigma\rightarrow 0^+\)
• Game-theoretic derivation of upper hedging prices of multivariate contingent claims and submodularity
• Combining statistical intervals and market prices: the worst case state price distribution
• The pricing of options for securities markets with delayed response
• Ambiguous volatility, possibility and utility in continuous time
• Fuzzy coefficient volatility (FCV) models with applications
• On the American option-pricing model with an uncertain volatility
• Portfolio optimization with ambiguous correlation and stochastic volatilities
• Robust utility maximization for a diffusion market model with misspecified coefficients
• Uncertain volatility and the risk-free synthesis of derivatives
• Handbook of Volatility Models and Their Applications
• THE BLACK SCHOLES BARENBLATT EQUATION FOR OPTIONS WITH UNCERTAIN VOLATILITY AND ITS APPLICATION TO STATIC HEDGING
• Social Optima in Mean Field Linear-Quadratic-Gaussian Control with Volatility Uncertainty
• Models with Uncertain Volatility
• Pricing formula for a barrier call option based on stochastic delay differential equation
• Volatility, risk modeling and utility

Describes a project that uses

Uses Software

• L-BFGS-B
• Mathematica
• L-BFGS
• MtgClt

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