A closed-form solution for options with ambiguity about stochastic volatility
نویسندگان
چکیده
منابع مشابه
A Closed-Form Solution for Options with Ambiguity about Stochastic Volatility∗
We derive a closed-form solution for the price of a European call option in the presence of ambiguity about the stochastic process that determines the variance of the underlying asset's return. The option pricing formula of Heston (1993) is a particular case of ours, corresponding to the case in which there is no ambiguity (uncertainty is exclusively risk). In the presence of ambiguity, the var...
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ژورنال
عنوان ژورنال: Review of Derivatives Research
سال: 2014
ISSN: 1380-6645,1573-7144
DOI: 10.1007/s11147-014-9097-9