Uncertain volatility derivative model based on the polynomial chaos
Stefanos Drakos (International Centre for Computational Engineering, Rhodes, Greece)
| Year of publication: |
February 2016
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|---|---|
| Authors: | Drakos, Stefanos |
| Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 6.2016, 1, p. 55-63
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| Subject: | Uncertain Volatility Model | Polynomial Chaos | Quantification of Uncertainty | Stochastic Finite Element Method | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Chaostheorie | Chaos theory | Optionspreistheorie | Option pricing theory | Risiko | Risk | Derivat | Derivative | Black-Scholes-Modell | Black-Scholes model | Nichtlineare Dynamik | Nonlinear dynamics |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.4236/jmf.2016.61007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011543102