important problem. As most financial markets exhibit randomly varying volatility, in this paper we introduce an approximation of … American option price under stochastic volatility models. We achieve this by using the maturity randomization method known as … Canadization. The volatility process is characterized by fast and slow scale fluctuating factors. In particular, we study the case …

We provide explicit, simple price formulas for the Europeanoptions under stochastic volatility and stochastic interest …

The uncertain volatility model has long ago attracted the attention of practitioners as it provides worst-case pricing …

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