1
$\begingroup$

I am trying to redemonstrate the dynamical programming equation and the compact formulation of the multiple-payoff problem given in the Appendix of the paper of Avellaneda on pricing and hedging derivative under the Uncertain Volatility Model (UVM).

http://math.cims.nyu.edu/faculty/avellane/UVMfirst.pdf.

Avellaneda, Levy, Paras: Pricing and Hedging Derivative Securities in Markets with Uncertain Volatilities, 1995

Does anyone understand how the BSB PDE (cf. eq 33) was deduced?

$\endgroup$

0

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Browse other questions tagged or ask your own question.