Abstract
In Chapters 7 and 8, algorithms have been discussed that compute (best) worst-case prices under uncertain volatility scenarios in which ∂(S t,t) and ∂S u,u) are independent for t≠u. In this chapter we extend the notion of uncertain volatility scenarios to include evolutions of the spot volatility that depend on its past history.
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© 2002 Springer-Verlag Berlin Heidelberg
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Buff, R. (2002). Exotic Volatility Scenarios. In: Uncertain Volatility Models — Theory and Application. Springer Finance. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-56323-2_9
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DOI: https://doi.org/10.1007/978-3-642-56323-2_9
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-42657-8
Online ISBN: 978-3-642-56323-2
eBook Packages: Springer Book Archive