Questions tagged [uncertain-volatility]

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Uncertain Volatility Model - Option Pricing R code help

I am trying to price the following call option using the UVM method in R. The code I wrote below keeps producing the same price for the min and max volatilities, which is wrong, however, I can't seem ...
Imran Jabbar's user avatar
1 vote
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Would anyone understand how the BSB (cf. eq 33) were deduced?

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 ...
Asma.BENS's user avatar
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Local volatility and Stochastic Volatility

Please help me understand similarity and differences between local volatility and Stochastic Volatility both intuitively and mathematically.
Ussu's user avatar
  • 547
4 votes
3 answers

Difference between risk and uncertainty

I'm reading the paper "Risk Measures in Quantitative Finance" by Mitra and Ji (2010). On page 2 it reads: We note that some Academics distinguish between risk and uncertainty as first defined by ...
Nick's user avatar
  • 241
5 votes
3 answers

Uncertain volatility

Recently, I have encountered something called "uncertain volatility". Is it a popular concept in QF? Do practitioners use it nowadays? What are its pros and cons compared to e.g more familiar ...
Michael Mark's user avatar