Calibration of European option pricing model in uncertain environment: Valuation of uncertainty implied volatility
Jinwu Gao, Ruru Jia, Idin Noorani, Farshid Mehrdoust
Topics & Concepts
Valuation of optionsBlack–Scholes modelImplied volatilityEconometricsVolatility (finance)Valuation (finance)Finite difference methods for option pricingVolatility smileMathematicsStochastic volatilityCall optionEconomicsFinanceFuzzy Systems and OptimizationStochastic processes and financial applicationsFinancial Risk and Volatility Modeling