Combinatorial implications of nonlinear uncertain volatility models: The case of barrier options

Keyphrases

• Barrier Options 100%
• Uncertain Volatility Model 100%
• Volatility 66%
• Vanilla Options 66%
• PDE 33%
• Combinatorial Complexity 33%
• Numerical Stability 33%
• Hierarchical Manner 33%
• Numerical Results 33%
• Nonlinear Behavior 33%
• Priori Distribution 33%
• Hedging 33%
• Pricing Problem 33%
• Subadditive 33%
• Black-Scholes Model 33%
• Exotic Options 33%
• Portfolio Values 33%
• Forward Volatility 33%
• Sell-side 33%

Economics, Econometrics and Finance

• Volatility 100%
• Option Trading 100%
• Pricing 16%
• Hedging 16%
• Black-Scholes Model 16%

Mathematics

• Barrier Option 100%
• Worst Case 33%
• Partial Differential Equation 33%
• Subadditive 33%
• Black-Scholes Model 33%