Questions tagged [uncertain-volatility]
The uncertain-volatility tag has no usage guidance.
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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 ...
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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 ...
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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.
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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 ...
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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 ...
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