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Uncertain volatility derivative model based on the polynomial chaos

Drakos, Stefanos - In: Journal of mathematical finance 6 (2016) 1, pp. 55-63

Persistent link: https://www.econbiz.de/10011543102

Option pricing via maximization over uncertainty and correction of volatility smile

Dokučaev, Nikolaj G. - In: International journal of theoretical and applied finance 14 (2011) 4, pp. 507-524

Persistent link: https://www.econbiz.de/10009269369

Risk Managing Long-Dated Smile Risk with SABR Formula

Moni, Claudio - 2014

used, in particular for long expiries and in high volatility environments. For example, we obtain positive sensitivities to …

Persistent link: https://www.econbiz.de/10013062318

A risk-neutral equilibrium leading to uncertain volatility pricing

Muhle-Karbe, Johannes; Nutz, Marcel - In: Finance and stochastics 22 (2018) 2, pp. 281-295

Persistent link: https://www.econbiz.de/10011945712

From smile asymptotics to market risk measures

Sircar, Kaushik Ronnie; Sturm, Stephan - In: Mathematical finance : an international journal of … 25 (2015) 2, pp. 400-425

Persistent link: https://www.econbiz.de/10011350605

Measuring the origins of macroeconomic uncertainty

Mumtaz, Haroon - 2018

This paper extends the procedure developed by Jurado et al. (2015) to allow the estimation of measures of uncertainty that can be attributed to specific structural shocks. This enables researchers to investigate the "origin" of a change in overall macroeconomic uncertainty. To demonstrate the...

Persistent link: https://www.econbiz.de/10011895010