Download or read book Asymptotic Behavior of Worst Case Scenario Prices in Uncertain Volatility Models written by Bin Ren and published by . This book was released on 2013 with total page 112 pages. Available in PDF, EPUB and Kindle. Book excerpt: We mainly study the asymptotic behavior of the worst case scenario option prices as the volatility interval in an uncertain volatility model (UVM) degenerates to a single point, and then provide an approximation procedure for the worst case scenario prices in a UVM with small volatility interval. Numerical experiments show that this approximation procedure performs well even as the size of the volatility band is not sosmall.