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

option pricingstochastic volatilityAmerican optionsnonlinearityC++ implementationuncertain volatility modelsvolatility bands

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10) 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)

Recommendations

• Combinatorial implications of nonlinear uncertain volatility models: the case of barrier options
• American options under uncertain volatility
• Approximation for option prices under uncertain volatility
• Finite volume method of option pricing model under uncertain volatility
• Option valuation under stochastic volatility II. With Mathematica code

Cited in

(17)

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

Describes a project that uses

Uses Software

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

This page was built for publication: Uncertain volatility models -- theory and application

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1601918)