options - very few Monte Carlo volatility paths, when combined with the other numerical methods, are required in order to … accurately price these contracts in the presence of correlated stochastic volatility …

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

We introduce a new method to price American-style options on underlying investments governed by stochastic volatility … (SV) models. The method does not require the volatility process to be observed. Instead, it exploits the fact that the … distributions of volatility, given observed data. By constructing statistics summarizing information about these conditional …