scholarly journals ROBUST UTILITY MAXIMIZATION IN NONDOMINATED MODELS WITH 2BSDE: THE UNCERTAIN VOLATILITY MODEL

2013 ◽  
Vol 25 (2) ◽  
pp. 258-287 ◽  
Author(s):  
Anis Matoussi ◽  
Dylan Possamaï ◽  
Chao Zhou
Keyword(s):  
Utility Maximization ◽  
Volatility Model ◽  
Uncertain Volatility ◽  
Robust Utility Maximization

scholarly journals Robust Utility Maximization without Model Compactness

2016 ◽  
Vol 7 (1) ◽  
pp. 70-103 ◽  
Author(s):  
Julio D. Backhoff Veraguas ◽  
Joaquín Fontbona
Keyword(s):  
Utility Maximization ◽  
Robust Utility Maximization

Double barrier American put option pricing under uncertain volatility model

2021 ◽  
pp. 2150038
Author(s):  
El Kharrazi Zaineb ◽  
Saoud Sahar ◽  
Mahani Zouhir
Keyword(s):  
Single Point ◽  
Option Prices ◽  
Double Barrier ◽  
Early Exercise ◽  
Put Option ◽  
Volatility Model ◽  
Uncertain Volatility ◽  
Exercise Boundary ◽  
Early Exercise Boundary ◽  
American Style

This paper aims to study the asymptotic behavior of double barrier American-style put option prices under an uncertain volatility model, which degenerates to a single point. We give an approximation of the double barrier American-style option prices with a small volatility interval, expressed by the Black–Scholes–Barenblatt equation. Then, we propose a novel representation for the early exercise boundary of American-style double barrier options in terms of the optimal stopping boundary of a single barrier contract.

scholarly journals Analysis of an uncertain volatility model

2006 ◽  
Vol 2006 ◽  
pp. 1-17 ◽  
Author(s):  
Marco Di Francesco ◽  
Paolo Foschi ◽  
Andrea Pascucci
Keyword(s):  
Parabolic Pdes ◽  
Kolmogorov Type ◽  
Volatility Model ◽  
Uncertain Volatility ◽  
Degenerate Parabolic

We examine, from both analytical and numerical viewpoints, the uncertain volatility model by Hobson-Rogers in the framework of degenerate parabolic PDEs of Kolmogorov type.

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