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The uncertainty volatility models and tree approximation
2016
Applied Mathematical Sciences
We consider the "Knightian uncertainty" volatility models as the optimal stochastic control problem. The main goal is the approach of the tree approximate algorithm for the calculation of the upper and lower prices of the European option. For this we use the theory of the viscosity solution of the G -heat equation.
doi:10.12988/ams.2016.6114
fatcat:zlnb3k2stzbivm6a7k26rz5ygu