Valuation of European option under uncertain volatility model
From MaRDI portal
Recommendations
- Valuation of European Options Under an Uncertain Market Price of Volatility Risk
- The valuation of European options in uncertain environment
- European option pricing under multifactor uncertain volatility model
- European option pricing with stochastic volatility models under parameter uncertainty
- scientific article; zbMATH DE number 6719886
- Pricing European options under stochastic volatilities models
- scientific article; zbMATH DE number 5284193
- scientific article; zbMATH DE number 6612856
- On valuing and hedging European options when volatility is estimated directly
Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A new option pricing model for stocks in uncertainty markets
- A numerical method for solving uncertain differential equations
- A stock model with jumps for uncertain markets
- American option pricing formula for uncertain financial market
- Degrees of belief. Based on the conference, Konstanz, Germany, July 2004
- Existence and uniqueness theorem for uncertain differential equations
- Option pricing for an uncertain stock model with jumps
- Prospect Theory: An Analysis of Decision under Risk
- Stock price distributions with stochastic volatility: an analytic approach
- The pricing of options and corporate liabilities
- The pricing of options on assets with stochastic volatilities
- Uncertain contour process and its application in stock model with floating interest rate
- Uncertain stock model with periodic dividends
- Uncertain term structure model of interest rate
- Uncertainty distribution and independence of uncertain processes
- Uncertainty theory
- Uncertainty theory
Cited in
(28)- Valuation of power option for uncertain financial market
- Implications of parameter uncertainty on option prices
- Interest-rate products pricing problems with uncertain jump processes
- An efficient Monte Carlo simulation for new uncertain Heston-CIR hybrid model
- Electricity spot price modeling by multi-factor uncertain process: a case study from the Nordic region
- Parameter estimation of uncertain differential equation with application to financial market
- European option pricing under multifactor uncertain volatility model
- Optimal harvesting strategy based on uncertain logistic population model
- Valuation of lookback option under uncertain volatility model
- An uncertain exponential Ornstein-Uhlenbeck interest rate model with uncertain CIR volatility
- Asian-barrier option pricing formulas of uncertain financial market
- On the American option-pricing model with an uncertain volatility
- scientific article; zbMATH DE number 6719886 (Why is no real title available?)
- scientific article; zbMATH DE number 6612856 (Why is no real title available?)
- Finite volume method of option pricing model under uncertain volatility
- scientific article; zbMATH DE number 5284193 (Why is no real title available?)
- On valuing and hedging European options when volatility is estimated directly
- Valuation of American Call Option Considering Uncertain Volatility
- Valuation of European Options Under an Uncertain Market Price of Volatility Risk
- Uncertain energy model for electricity and gas futures with application in spark-spread option price
- Models with Uncertain Volatility
- Calibration of European option pricing model in uncertain environment: valuation of uncertainty implied volatility
- Pricing European call options with interval-valued volatility and interest rate
- Uncertain finance: a systematic review of recent advances
- European option pricing under uncertain multifactor exponential Ornstein-Uhlenbeck volatility model
- A neural network-based method for pricing American options and assessing implied volatility under uncertainty
- Estimation of parameters and valuation of options written on multiple assets described by uncertain fractional differential equations
- Valuation of stock loan under uncertain stock model with floating interest rate
This page was built for publication: Valuation of European option under uncertain volatility model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1800249)
