Uncertainty quantification of derivative instruments
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- MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
- Measures of model uncertainty and calibrated option bounds
- Uncertainty quantification and Heston model
- Computation of the effects of uncertainty in volatility on option pricing and hedging
- Valuation of European Options Under an Uncertain Market Price of Volatility Risk
Cites work
- scientific article; zbMATH DE number 1999206 (Why is no real title available?)
- A Fourier-based valuation method for Bermudan and barrier options under Heston's model
- A Mathematical Theory of Communication
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- ADI finite difference schemes for option pricing in the Heston model with correlation
- ADI schemes for pricing American options under the Heston model
- Algorithm 847
- American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis Approach
- BENCHOP -- the benchmarking project in option pricing
- Capturing parameter risk with convex risk measures
- Constructing nested nodal sets for multivariate polynomial interpolation
- Estimate nothing
- Explicit cost bounds of algorithms for multivariate tensor product problems
- High dimensional polynomial interpolation on sparse grids
- High-Order Collocation Methods for Differential Equations with Random Inputs
- MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
- Maximum entropy autoregressive conditional heteroskedasticity model
- Model-independent bounds for option prices -- a mass transport approach
- Monotonicity of the value function for a two-dimensional optimal stopping problem
- On Discrete Least-Squares Projection in Unbounded Domain with Random Evaluations and its Application to Parametric Uncertainty Quantification
- On sparse interpolation and the design of deterministic interpolation points
- Optimal transportation under controlled stochastic dynamics
- Pricing and hedging derivative securities in markets with uncertain volatilities
- Pricing barrier and Bermudan style options under time-changed Lévy processes: fast Hilbert transform approach
- Pricing model for convertible bonds: a mixed fractional Brownian motion with jumps
- Recent developments in high order numerical methods for uncertainty quantification
- Robust hedging of the lookback option
- Robust pricing and hedging of double no-touch options
- Static super-replicating strategies for a class of exotic options
- Stochastic collocation on unstructured multivariate meshes
- Stochastic differential portfolio games for an insurer in a jump-diffusion risk process
- The evaluation of barrier option prices under stochastic volatility
- The meanings of entropy
- Uncertain volatility and the risk-free synthesis of derivatives
Cited in
(7)- MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
- Measuring the unmeasurable: an application of uncertainty quantification to treasury bond portfolios
- Computation of the effects of uncertainty in volatility on option pricing and hedging
- Quantification of model uncertainty on path-space via goal-oriented relative entropy
- Uncertainty quantification and Heston model
- Measures of model uncertainty and calibrated option bounds
- Uncertain volatility and the risk-free synthesis of derivatives
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