We present a non-parametric Monte-Carlo method for computing the price of an option in an uncertain volatility model. We use the link between second-order BSDE and non-linear second order parabolic PDEs to derive a numerical scheme that gives a fast and accurate estimation of the optimal...

This paper presents a comprehensive extension of pricing two-dimensional derivatives depending on two barrier constraints. We assume randomness on the covariance matrix as a way of generalizing. We analyse common barrier derivatives, enabling us to study parameter uncertainty and the risk...

This paper aims to develop optional semimartingale methods in risk theory to allow for a larger class of risk models. Optional semimartingales are left-continuous with right-limit stochastic processes defined on a probability space where the usual conditions - completeness and right-continuity...