Uncertain Volatility Models with Stochastic Bounds

@article{Fouque2018UncertainVM,
  title={Uncertain Volatility Models with Stochastic Bounds},
  author={Jean-Pierre Fouque and Ning Ning},
  journal={SIAM J. Financial Math.},
  year={2018},
  volume={9},
  pages={1175-1207}
}
  • Jean-Pierre Fouque, Ning Ning
  • Published in SIAM J. Financial Math. 2018
  • Economics, Computer Science, Mathematics
  • In this paper, we propose the uncertain volatility models with stochastic bounds. Like the regular uncertain volatility models, we know only that the true model lies in a family of progressively measurable and bounded processes, but instead of using two deterministic bounds, the uncertain volatility fluctuates between two stochastic bounds generated by its inherent stochastic volatility process. This brings better accuracy and is consistent with the observed volatility path such as for the VIX… CONTINUE READING

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