Asymptotic Behavior of Worst Case Scenario Prices in Uncertain Volatility Models
Author | : Bin Ren |
Publisher | : |
Total Pages | : 112 |
Release | : 2013 |
ISBN-10 | : 1303052717 |
ISBN-13 | : 9781303052712 |
Rating | : 4/5 (17 Downloads) |
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.