Calibrating a diffusion pricing model with uncertain volatility: Regularization and stability

Mathematical Finance

Volumn 12, Issue 1, 2002, Pages 71-87

  Samperi, Dominick ^a,b  

^a Decision Synergy Inc   (United States)

^b NONE   (United States)

Author keywords

Derivative security pricing; Implicit function theorem; Nonlinear partial differential equations; Stochastic optimal control

Indexed keywords

EID: 0036002691     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9965.00005     Document Type: Article

References (20)

1. Calibrating volatility surfaces via relative entropy minimization
2. Pricing and hedging derivative securities in markets with uncertain volatilities
3. Managing the volatility risk of portfolios of derivative securities: The Lagrangian uncertain volatility model
4. A strong unique continuation theorem for parabolic equations
5. Efficient hedging: Cost versus shortfall risk
6. Martingales and arbitrage in multiperiod securities markets
7. Implicit function theorems
8. Information structures and viable price systems