Option pricing via maximization over uncertainty and correction of volatility smile

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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...

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Bibliographic Details
Main Author:	Dokuchaev, Nikolai
Format:	Journal Article
Published:	World Scientific 2011
Subjects:	uncertain volatility stochastic volatility Hamilton–Jacobi–Bellman equation volatility smile Diffusion market model
Online Access:	http://hdl.handle.net/20.500.11937/19216

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