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THE BLACK SCHOLES BARENBLATT EQUATION FOR OPTIONS WITH UNCERTAIN VOLATILITY AND ITS APPLICATION TO STATIC HEDGING
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THE BLACK SCHOLES BARENBLATT EQUATION FOR OPTIONS WITH UNCERTAIN VOLATILITY AND ITS APPLICATION TO STATIC HEDGING (2006)THE BLACK SCHOLES BARENBLATT EQUATION FOR…Numerical convergence properties of option pricing PDEs with uncertain volatility (2003)Numerical convergence propert…Uncertain Volatility Models — Theory and Application (2002)Uncertain Volatility Models —…Option valuation under stochastic volatility: with mathematica code (2002)Option valuation under stocha…Introduction and Summary of Results (Excerpt) (2000)Introduction and Summary of R…Reconstructing the unknown local volatility function (1999)Reconstructing the unknown lo…Combinatorial implications of nonlinear uncertain volatility models: the case of barrier options (1999)Combinatorial implications of…Derivatives: The Theory and Practice of Financial Engineering (1998)Derivatives: The Theory and P…Pricing and hedging derivative securities in markets with uncertain volatilities (1995)Pricing and hedging derivativ…Advances in Futures and Options Research (1994)Advances in Futures and Optio…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing (2000)Recovering volatility from option prices by evolutionary optimization (2005)Theory of rational option pricing (2005)Optimization Methods in Finance (2006)Martingales and arbitrage in multiperiod securities markets (1979)The Pricing of Options on Assets with Stochastic Volatilities (1987)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths (2010)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion (2005)Convergence analysis of Crank–Nicolson and Rannacher time-marching (2006)A Semi-Lagrangian Approach for Natural Gas Storage Valuation and Optimal Operation (2007)Path Dependent Options: The Case of Lookback Options (1991)Pricing Options With Curved Boundaries 1 (1992)An unconditionally monotone numerical scheme for the two-factor uncertain volatility model (2016)A semi-analytic valuation of American options under a two-state regime-switching economy (2019)Markov chains under nonlinear expectation (2020)An introduction to statistical finance (2002)An evolutionary heuristic for the index tracking problem (2003)An Engine, Not a Camera (2006)The dynamics of stochastic volatility: evidence from underlying and options markets (2003)Maximum likelihood estimation of stochastic volatility models (2006)The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well (2009)Forecasting Financial Volatilities with Extreme Values: The Conditional Autoregressive Range (CARR) Model (2005)Options and Bubbles (2006)Option pricing when correlations are stochastic: an analytical framework (2007)Chapter 49 Arch models (1994)Modeling and pricing long memory in stock market volatility (1996)Volatility forecast comparison using imperfect volatility proxies (2010)
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References

  • 1995Pricing and hedging derivative securities in markets with uncertain volatilities681 cited
  • 1998Derivatives: The Theory and Practice of Financial Engineering554 cited
  • 2000Introduction and Summary of Results (Excerpt)521 cited
  • 1994Advances in Futures and Options Research287 cited
  • 2002Option valuation under stochastic volatility: with mathematica code228 cited
  • 2003Numerical convergence properties of option pricing PDEs with uncertain volatility157 cited
  • 1999Reconstructing the unknown local volatility function133 cited
  • 1999Combinatorial implications of nonlinear uncertain volatility models: the case of barrier options31 cited
  • 2002Uncertain Volatility Models — Theory and Application20 cited

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