Option pricing via maximization over uncertainty and correction of volatility smile
The paper presents a pricing rule for market models with stochastic volatility and with an uncertainty in its evolution law. It is shown that the most common stochastic volatility models allow a possibility that the option price calculated for random volatility with an error in volatility forecasts...
| Main Author: | |
|---|---|
| Format: | Journal Article |
| Published: |
World Scientific
2011
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/20.500.11937/19216 |