Asymptotic Behavior of Worst Case Scenario Prices in Uncertain Volatility Models
Download or Read eBook Asymptotic Behavior of Worst Case Scenario Prices in Uncertain Volatility Models PDF written by Bin Ren and published by . This book was released on 2013 with total page 112 pages. Available in PDF, EPUB and Kindle.
Author | : Bin Ren |
Publisher | : |
Total Pages | : 112 |
Release | : 2013 |
ISBN-10 | : 1303052717 |
ISBN-13 | : 9781303052712 |
Rating | : 4/5 (17 Downloads) |
Book Synopsis Asymptotic Behavior of Worst Case Scenario Prices in Uncertain Volatility Models by : Bin Ren
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.